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 >:

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

 MCDiscreteArithmeticASEngine (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

template<class RNG = PseudoRandom, class S = Statistics>
class QuantLib::MCDiscreteArithmeticASEngine< RNG, S >

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