McDiscreteArithmeticAPO Class Reference

#include <mcdiscretearithmeticapo.hpp>

Inheritance diagram for McDiscreteArithmeticAPO:

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List of all members.

Detailed Description

example of Monte Carlo pricer using a control variate

Todo:
Continous Averaging version


Public Member Functions

 McDiscreteArithmeticAPO (Option::Type type, double underlying, double strike, Spread dividendYield, Rate riskFreeRate, const std::vector< Time > &times, double volatility, bool antitheticVariance, bool controlVariate, long seed=0)


The documentation for this class was generated from the following files:

QuantLib.org
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