MCDiscreteArithmeticASEngine< RNG, S > Class Template Reference

Monte Carlo pricing engine for discrete arithmetic average-strike Asian. More...

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

Inheritance diagram for MCDiscreteArithmeticASEngine< 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

 MCDiscreteArithmeticASEngine (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::MCDiscreteArithmeticASEngine< RNG, S >

Monte Carlo pricing engine for discrete arithmetic average-strike Asian.