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Public Types | Public Member Functions | Protected Member Functions | List of all members
MCDiscreteGeometricAPHestonEngine< RNG, S, P > Class Template Reference

Heston MC pricing engine for discrete geometric average price Asian. More...

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

+ Inheritance diagram for MCDiscreteGeometricAPHestonEngine< RNG, S, P >:
+ Collaboration diagram for MCDiscreteGeometricAPHestonEngine< RNG, S, P >:

Public Types

typedef MCDiscreteAveragingAsianEngineBase< MultiVariate, RNG, S >::path_generator_type path_generator_type
 
typedef MCDiscreteAveragingAsianEngineBase< MultiVariate, RNG, S >::path_pricer_type path_pricer_type
 
typedef MCDiscreteAveragingAsianEngineBase< MultiVariate, RNG, S >::stats_type stats_type
 
- Public Types inherited from MCDiscreteAveragingAsianEngineBase< MC, RNG, S >
typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type
 
typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type
 
typedef McSimulation< MC, RNG, S >::stats_type stats_type
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 
- Public Types inherited from McSimulation< MC, RNG, S >
typedef MonteCarloModel< MC, RNG, S >::path_generator_type path_generator_type
 
typedef MonteCarloModel< MC, RNG, S >::path_pricer_type path_pricer_type
 
typedef MonteCarloModel< MC, RNG, S >::stats_type stats_type
 
typedef MonteCarloModel< MC, RNG, S >::result_type result_type
 

Public Member Functions

 MCDiscreteGeometricAPHestonEngine (const ext::shared_ptr< P > &process, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size timeSteps=Null< Size >(), Size timeStepsPerYear=Null< Size >())
 
- Public Member Functions inherited from MCDiscreteAveragingAsianEngineBase< MC, RNG, S >
 MCDiscreteAveragingAsianEngineBase (ext::shared_ptr< StochasticProcess > process, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size timeSteps=Null< Size >(), Size timeStepsPerYear=Null< Size >())
 
void calculate () const override
 
- Public Member Functions inherited from GenericEngine< DiscreteAveragingAsianOption::arguments, DiscreteAveragingAsianOption::results >
PricingEngine::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void update ()=0
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from McSimulation< MC, RNG, S >
virtual ~McSimulation ()=default
 
result_type value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const
 add samples until the required absolute tolerance is reached More...
 
result_type valueWithSamples (Size samples) const
 simulate a fixed number of samples More...
 
result_type errorEstimate () const
 error estimated using the samples simulated so far More...
 
const stats_typesampleAccumulator () const
 access to the sample accumulator for richer statistics More...
 
void calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const
 basic calculate method provided to inherited pricing engines More...
 

Protected Member Functions

ext::shared_ptr< path_pricer_typepathPricer () const override
 
- Protected Member Functions inherited from MCDiscreteAveragingAsianEngineBase< MC, RNG, S >
TimeGrid timeGrid () const override
 
ext::shared_ptr< path_generator_typepathGenerator () const override
 
Real controlVariateValue () const override
 
- Protected Member Functions inherited from McSimulation< MC, RNG, S >
 McSimulation (bool antitheticVariate, bool controlVariate)
 
virtual ext::shared_ptr< path_pricer_typepathPricer () const =0
 
virtual ext::shared_ptr< path_generator_typepathGenerator () const =0
 
virtual TimeGrid timeGrid () const =0
 
virtual ext::shared_ptr< path_pricer_typecontrolPathPricer () const
 
virtual ext::shared_ptr< path_generator_typecontrolPathGenerator () const
 
virtual ext::shared_ptr< PricingEnginecontrolPricingEngine () const
 
virtual result_type controlVariateValue () const
 

Additional Inherited Members

- Static Protected Member Functions inherited from McSimulation< MC, RNG, S >
template<class Sequence >
static Real maxError (const Sequence &sequence)
 
static Real maxError (Real error)
 
- Protected Attributes inherited from MCDiscreteAveragingAsianEngineBase< MC, RNG, S >
ext::shared_ptr< StochasticProcessprocess_
 
Size requiredSamples_
 
Size maxSamples_
 
Size timeSteps_
 
Size timeStepsPerYear_
 
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< MC, RNG, S >
ext::shared_ptr< MonteCarloModel< MC, RNG, S > > mcModel_
 
bool antitheticVariate_
 
bool controlVariate_
 

Detailed Description

template<class RNG = PseudoRandom, class S = Statistics, class P = HestonProcess>
class QuantLib::MCDiscreteGeometricAPHestonEngine< RNG, S, P >

Heston MC pricing engine for discrete geometric average price Asian.

By default, the MC discretization will use 1 time step per fixing date, but this can be controlled via timeSteps or timeStepsPerYear parameter, which will provide additional timesteps. The grid tries to space as evenly as it can and does not guarantee to match an exact number of steps, the precise grid used can be found in results_.additionalResults["TimeGrid"]

Tests:
the correctness of the returned value is tested by reproducing results available in literature.

Definition at line 48 of file mc_discr_geom_av_price_heston.hpp.

Member Typedef Documentation

◆ path_generator_type

Definition at line 51 of file mc_discr_geom_av_price_heston.hpp.

◆ path_pricer_type

Definition at line 52 of file mc_discr_geom_av_price_heston.hpp.

◆ stats_type

Definition at line 53 of file mc_discr_geom_av_price_heston.hpp.

Constructor & Destructor Documentation

◆ MCDiscreteGeometricAPHestonEngine()

MCDiscreteGeometricAPHestonEngine ( const ext::shared_ptr< P > &  process,
bool  antitheticVariate,
Size  requiredSamples,
Real  requiredTolerance,
Size  maxSamples,
BigNatural  seed,
Size  timeSteps = Null<Size>(),
Size  timeStepsPerYear = Null<Size>() 
)

Definition at line 114 of file mc_discr_geom_av_price_heston.hpp.

Member Function Documentation

◆ pathPricer()

ext::shared_ptr< typename MCDiscreteGeometricAPHestonEngine< RNG, S, P >::path_pricer_type > pathPricer
overrideprotectedvirtual

Implements McSimulation< MC, RNG, S >.

Definition at line 140 of file mc_discr_geom_av_price_heston.hpp.

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