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QuantLib_MCDiscreteGeometricAPEngine
Langue: en
Version: 378310 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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 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
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
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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