- 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.