QuantLib_MCDiscreteArithmeticASEngine (3) Linux Manual Page

QuantLib::MCDiscreteArithmeticASEngine – Monte Carlo pricing engine for discrete arithmetic average-strike Asian.

Synopsis

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

Inherits 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

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.

Author

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