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 >: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 Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
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 | |
| MCDiscreteArithmeticAPEngine (const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, bool brownianBridge, bool antitheticVariate, bool controlVariate, 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 GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
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 |
| boost::shared_ptr< path_pricer_type > | controlPathPricer () const |
| boost::shared_ptr< PricingEngine > | controlPricingEngine () 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_generator_type > | controlPathGenerator () 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_ |
Protected Attributes inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results > | |
| DiscreteAveragingAsianOption::arguments | arguments_ |
| DiscreteAveragingAsianOption::results | results_ |
Protected Attributes inherited from McSimulation< SingleVariate, RNG, S > | |
| boost::shared_ptr< MonteCarloModel< SingleVariate, RNG, S > > | mcModel_ |
| bool | antitheticVariate_ |
| bool | controlVariate_ |
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.