MCDiscreteArithmeticAPEngine< RNG, S > Class Template Reference

Monte Carlo pricing engine for discrete arithmetic average price Asian. More...

#include <ql/pricingengines/asian/mc_discr_arith_av_price.hpp>

Inheritance diagram for MCDiscreteArithmeticAPEngine< RNG, S >:

List of all members.

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< PricingEnginecontrolPricingEngine () 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.