QuantLib_MCDiscreteGeometricAPEngine man page

MCDiscreteGeometricAPEngine< RNG, S > — 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, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Protected Member Functions

boost::shared_ptr< path_pricer_type > pathPricer () const

Additional Inherited Members

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

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

MCDiscreteGeometricAPEngine(3) is an alias of QuantLib_MCDiscreteGeometricAPEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib