- QuantLib
- MCDiscreteArithmeticAPEngine
Monte Carlo pricing engine for discrete arithmetic average price Asian. More...
#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>
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 |
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.