McDiscreteArithmeticAPO Class Reference

#include <ql/Pricers/mcdiscretearithmeticapo.hpp>

Inheritance diagram for McDiscreteArithmeticAPO:

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Detailed Description

example of Monte Carlo pricer using a control variate

Todo:
continous-averaging version


Public Member Functions

 McDiscreteArithmeticAPO (Option::Type type, Real underlying, Real strike, const RelinkableHandle< TermStructure > &dividendYield, const RelinkableHandle< TermStructure > &riskFreeRate, const RelinkableHandle< BlackVolTermStructure > &volatility, const std::vector< Time > &times, bool controlVariate, BigNatural seed=0)


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