MCDiscreteAveragingAsianEngine Class Template Reference
[Asian option engines]
Pricing engine for discrete average Asians using Monte Carlo simulation.
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#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp>
Inheritance diagram for MCDiscreteAveragingAsianEngine:

Public Types | |
typedef McSimulation < SingleVariate, RNG, S > ::path_generator_type | path_generator_type |
typedef McSimulation < SingleVariate, RNG, S > ::path_pricer_type | path_pricer_type |
typedef McSimulation < SingleVariate, RNG, S > ::stats_type | stats_type |
Public Member Functions | |
MCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Size maxTimeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
void | calculate () const |
Protected Member Functions | |
TimeGrid | timeGrid () const |
boost::shared_ptr < path_generator_type > | pathGenerator () const |
Real | controlVariateValue () const |
Protected Attributes | |
boost::shared_ptr < GeneralizedBlackScholesProcess > | process_ |
Size | maxTimeStepsPerYear_ |
Size | requiredSamples_ |
Size | maxSamples_ |
Real | requiredTolerance_ |
bool | brownianBridge_ |
BigNatural | seed_ |
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCDiscreteAveragingAsianEngine< RNG, S >
Pricing engine for discrete average Asians using Monte Carlo simulation.
- Warning:
- control-variate calculation is disabled under VC++6.