Rechercher une page de manuel
QuantLib_MCDiscreteArithmeticAPEngine
Langue: en
Version: 378943 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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 QuantLib::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, 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
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre