QuantLib_MCDiscreteArithmeticAPEngine (3) - Linux Manuals

QuantLib_MCDiscreteArithmeticAPEngine: Monte Carlo pricing engine for discrete arithmetic average price Asian.

Command to display QuantLib_MCDiscreteArithmeticAPEngine manual in Linux: $ man 3 QuantLib_MCDiscreteArithmeticAPEngine

NAME

QuantLib::MCDiscreteArithmeticAPEngine - Monte Carlo pricing engine for discrete arithmetic average price Asian.

SYNOPSIS

#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>

Inherits MCDiscreteAveragingAsianEngine< 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, Size maxTimeStepPerYear, 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.

Author

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