QuantLib_MCDiscreteGeometricAPEngine (3) - Linux Manuals

QuantLib_MCDiscreteGeometricAPEngine: Monte Carlo pricing engine for discrete geometric average price Asian.

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

NAME

QuantLib::MCDiscreteGeometricAPEngine - Monte Carlo pricing engine for discrete geometric average price Asian.

SYNOPSIS

#include <ql/pricingengines/asian/mc_discr_geom_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

MCDiscreteGeometricAPEngine (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

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.

Author

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