MCDiscreteArithmeticAPEngine< RNG, S > Class Template Reference
Monte Carlo pricing engine for discrete arithmetic average price Asian. More...
#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>
Inheritance diagram for MCDiscreteArithmeticAPEngine< RNG, S >:

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 | |
MCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed) | |
Protected Member Functions | |
boost::shared_ptr < path_pricer_type > | pathPricer () const |
boost::shared_ptr < path_pricer_type > | controlPathPricer () const |
boost::shared_ptr< PricingEngine > | controlPricingEngine () const |
Detailed Description
template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCDiscreteArithmeticAPEngine< RNG, S >
Monte Carlo pricing engine for discrete arithmetic average price Asian.
Monte Carlo pricing engine for discrete arithmetic average price Asian options. It can use MCDiscreteGeometricAPEngine (Monte Carlo discrete arithmetic average price engine) and AnalyticDiscreteGeometricAveragePriceAsianEngine (analytic discrete arithmetic average price engine) for control variation.
- Tests:
- the correctness of the returned value is tested by reproducing results available in literature.