MCDiscreteGeometricAPEngine Class Template Reference
[Asian option engines]
Monte Carlo pricing engine for discrete geometric average price Asian.
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#include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp>
Inheritance diagram for MCDiscreteGeometricAPEngine:

Public Types | |
typedef MCDiscreteAveragingAsianEngine < RNG, S > ::path_generator_type | path_generator_type |
typedef MCDiscreteAveragingAsianEngine < RNG, S >::path_pricer_type | path_pricer_type |
typedef MCDiscreteAveragingAsianEngine < RNG, S >::stats_type | stats_type |
Public Member Functions | |
MCDiscreteGeometricAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
Protected Member Functions | |
boost::shared_ptr < path_pricer_type > | pathPricer () const |
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCDiscreteGeometricAPEngine< RNG, S >
Monte Carlo pricing engine for discrete geometric average price Asian.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.