MCDiscreteGeometricAPEngine< RNG, S > Class Template Reference

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

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

Inheritance diagram for MCDiscreteGeometricAPEngine< 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 Types inherited from MCDiscreteAveragingAsianEngine< RNG, S >
typedef McSimulation < SingleVariate, RNG, S > ::path_generator_type	path_generator_type

typedef McSimulation < SingleVariate, RNG, S > ::path_pricer_type	path_pricer_type

typedef McSimulation < SingleVariate, RNG, S > ::stats_type	stats_type

Public Types inherited from McSimulation< SingleVariate, RNG, S >
typedef MonteCarloModel < SingleVariate, RNG, S > ::path_generator_type	path_generator_type

typedef MonteCarloModel < SingleVariate, RNG, S > ::path_pricer_type	path_pricer_type

typedef MonteCarloModel < SingleVariate, RNG, S > ::stats_type	stats_type

typedef MonteCarloModel < SingleVariate, RNG, S > ::result_type	result_type

Public Member Functions
	MCDiscreteGeometricAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

Public Member Functions inherited from MCDiscreteAveragingAsianEngine< RNG, S >
	MCDiscreteAveragingAsianEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed)

void	calculate () const

Public Member Functions inherited from McSimulation< SingleVariate, RNG, S >
result_type	value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
	add samples until the required absolute tolerance is reached

result_type	valueWithSamples (Size samples) const
	simulate a fixed number of samples

result_type	errorEstimate () const
	error estimated using the samples simulated so far

const stats_type &	sampleAccumulator (void) const
	access to the sample accumulator for richer statistics

void	calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
	basic calculate method provided to inherited pricing engines

Protected Member Functions
boost::shared_ptr < path_pricer_type >	pathPricer () const

Protected Member Functions inherited from MCDiscreteAveragingAsianEngine< RNG, S >
TimeGrid	timeGrid () const

boost::shared_ptr < path_generator_type >	pathGenerator () const

Real	controlVariateValue () const

Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
	McSimulation (bool antitheticVariate, bool controlVariate)

virtual boost::shared_ptr < path_pricer_type >	controlPathPricer () const

virtual boost::shared_ptr < path_generator_type >	controlPathGenerator () const

virtual boost::shared_ptr < PricingEngine >	controlPricingEngine () const

Additional Inherited Members
Static Protected Member Functions inherited from McSimulation< SingleVariate, RNG, S >
static Real	maxError (const Sequence &sequence)

static Real	maxError (Real error)

Protected Attributes inherited from MCDiscreteAveragingAsianEngine< RNG, S >
boost::shared_ptr < GeneralizedBlackScholesProcess >	process_

Size	requiredSamples_

Size	maxSamples_

Real	requiredTolerance_

bool	brownianBridge_

BigNatural	seed_

Detailed Description

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.