QuantLib_MCDiscreteAveragingAsianEngine man page

MCDiscreteAveragingAsianEngine< RNG, S > — Pricing engine for discrete average Asians using Monte Carlo simulation.  

Synopsis

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

Inherits DiscreteAveragingAsianOption::engine, and McSimulation< SingleVariate, RNG, S >.

Inherited by MCDiscreteArithmeticAPEngine< RNG, S >, MCDiscreteArithmeticASEngine< RNG, S >, and MCDiscreteGeometricAPEngine< RNG, S >.

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, 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 requiredSamples_
Size maxSamples_
Real requiredTolerance_
bool brownianBridge_
BigNatural seed_

Additional Inherited Members

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.

Author

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Referenced By

The man page MCDiscreteAveragingAsianEngine(3) is an alias of QuantLib_MCDiscreteAveragingAsianEngine(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib