QuantLib_MCDiscreteGeometricAPEngine

Langue: en

Autres versions - même langue

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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