- QuantLib
- MCDiscreteGeometricAPEngine
Monte Carlo pricing engine for discrete geometric average price Asian. More...
#include <ql/pricingengines/asian/mc_discr_geom_av_price.hpp>
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 | |
MCDiscreteGeometricAPEngine (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 |
Monte Carlo pricing engine for discrete geometric average price Asian.