MCDiscreteGeometricAPEngine

Monte Carlo pricing engine for discrete geometric average price Asian

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

Hierarchy

MCDiscreteAveragingAsianEngine
- MCDiscreteGeometricAPEngine

Implements

Index

Constructors

constructor

Methods

Constructors

constructor

new MCDiscreteGeometricAPEngine(RNG?: rng_traits, S?: any): MCDiscreteGeometricAPEngine

Overrides MCDiscreteAveragingAsianEngine.constructor
- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:28
Parameters
- Default value RNG: rng_traits = new PseudoRandom()
- Default value S: any = new RiskStatistics()
Returns MCDiscreteGeometricAPEngine

Properties

MC

MC: mc_traits

RNG

RNG: rng_traits

S

S: any

_antitheticVariate

_antitheticVariate: boolean

_arguments

_arguments: Arguments = new DiscreteAveragingAsianOption.Arguments()

Protected _brownianBridge

_brownianBridge: boolean

_controlVariate

_controlVariate: boolean

_isDisposed

_isDisposed: boolean = false

Protected _maxSamples

_maxSamples: Size

_mcModel

_mcModel: MonteCarloModel

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

Protected _process

_process: GeneralizedBlackScholesProcess

Protected _requiredSamples

_requiredSamples: Size

Protected _requiredTolerance

_requiredTolerance: Real

_results

_results: Results = new DiscreteAveragingAsianOption.Results()

Protected _seed

_seed: BigNatural

calculate1

calculate1: (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size) => void

Type declaration

- (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size): void
- Parameters
  - requiredTolerance: Real
  - requiredSamples: Size
  - maxSamples: Size
  Returns void

controlPathGenerator

controlPathGenerator: () => PathGenerator

Type declaration

- (): PathGenerator
- Returns PathGenerator

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

errorEstimate

errorEstimate: () => Real

Type declaration

- (): Real
- Returns Real

getArguments

getArguments: () => Arguments

Type declaration

- (): Arguments
- Returns Arguments

getResults

getResults: () => Results

Type declaration

- (): Results
- Returns Results

isDisposed

isDisposed: boolean

mcsInit

mcsInit: (antitheticVariate: boolean, controlVariate: boolean) => McSimulation

Type declaration

- (antitheticVariate: boolean, controlVariate: boolean): McSimulation
- Parameters
  - antitheticVariate: boolean
  - controlVariate: boolean
  Returns McSimulation

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

reset

reset: () => void

Type declaration

- (): void
- Returns void

sampleAccumulator

sampleAccumulator: () => RiskStatistics

Type declaration

- (): RiskStatistics
- Returns RiskStatistics

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

update

update: () => void

Type declaration

- (): void
- Returns void

value

value: (tolerance: Real, maxSamples: Size, minSamples: Size) => Real

Type declaration

- (tolerance: Real, maxSamples: Size, minSamples: Size): Real
- Parameters
  - tolerance: Real
  - maxSamples: Size
  - minSamples: Size
  Returns Real

valueWithSamples

valueWithSamples: (samples: Size) => Real

Type declaration

- (samples: Size): Real
- Parameters
  - samples: Size
  Returns Real

Methods

calculate

calculate(): void

Inherited from MCDiscreteAveragingAsianEngine.calculate

Overrides DiscreteAveragingAsianOptionEngineMcSimulation.calculate
- Defined in ql/pricingengines/asian/mcdiscreteasianengine.ts:54
Returns void

controlPathPricer

controlPathPricer(): PathPricer<Path | MultiPath>

Inherited from DiscreteAveragingAsianOptionEngineMcSimulation.controlPathPricer
- Defined in mixins/ql/pricingengines/discreteaveragingasianoptionenginemcsimulation.ts:64
Returns PathPricer<Path | MultiPath>

controlPricingEngine

controlPricingEngine(): PricingEngine

Inherited from DiscreteAveragingAsianOptionEngineMcSimulation.controlPricingEngine
- Defined in mixins/ql/pricingengines/discreteaveragingasianoptionenginemcsimulation.ts:68
Returns PricingEngine

controlVariateValue

controlVariateValue(): Real

Inherited from MCDiscreteAveragingAsianEngine.controlVariateValue

Overrides DiscreteAveragingAsianOptionEngineMcSimulation.controlVariateValue
- Defined in ql/pricingengines/asian/mcdiscreteasianengine.ts:113
Returns Real

mcdaaeInit

mcdaaeInit(process: GeneralizedBlackScholesProcess, brownianBridge: boolean, antitheticVariate: boolean, controlVariate: boolean, requiredSamples: Size, requiredTolerance: Real, maxSamples: Size, seed: BigNatural): MCDiscreteAveragingAsianEngine

Inherited from MCDiscreteAveragingAsianEngine.mcdaaeInit
- Defined in ql/pricingengines/asian/mcdiscreteasianengine.ts:37
Parameters
- process: GeneralizedBlackScholesProcess
- brownianBridge: boolean
- antitheticVariate: boolean
- controlVariate: boolean
- requiredSamples: Size
- requiredTolerance: Real
- maxSamples: Size
- seed: BigNatural
Returns MCDiscreteAveragingAsianEngine

mcdgapeInit

mcdgapeInit(process: GeneralizedBlackScholesProcess, brownianBridge: boolean, antitheticVariate: boolean, requiredSamples: Size, requiredTolerance: Real, maxSamples: Size, seed: BigNatural): MCDiscreteGeometricAPEngine

- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:39
Parameters
- process: GeneralizedBlackScholesProcess
- brownianBridge: boolean
- antitheticVariate: boolean
- requiredSamples: Size
- requiredTolerance: Real
- maxSamples: Size
- seed: BigNatural
Returns MCDiscreteGeometricAPEngine

pathGenerator

pathGenerator(): PathGenerator

Inherited from MCDiscreteAveragingAsianEngine.pathGenerator

Overrides DiscreteAveragingAsianOptionEngineMcSimulation.pathGenerator
- Defined in ql/pricingengines/asian/mcdiscreteasianengine.ts:106
Returns PathGenerator

pathPricer

pathPricer(): PathPricer<Path>

Overrides DiscreteAveragingAsianOptionEngineMcSimulation.pathPricer
- Defined in ql/pricingengines/asian/mc_discr_geom_av_price.ts:50
Returns PathPricer<Path>

timeGrid

timeGrid(): TimeGrid

Inherited from MCDiscreteAveragingAsianEngine.timeGrid

Overrides DiscreteAveragingAsianOptionEngineMcSimulation.timeGrid
- Defined in ql/pricingengines/asian/mcdiscreteasianengine.ts:83
Returns TimeGrid

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

Default value RNG: rng_traits = new PseudoRandom()

Default value S: any = new RiskStatistics()

Returns MCDiscreteGeometricAPEngine

Properties

MC

RNG

S

_antitheticVariate

_arguments

Protected _brownianBridge

_controlVariate

_isDisposed

Protected _maxSamples

_mcModel

_observables

_observers

Protected _process

Protected _requiredSamples

Protected _requiredTolerance

_results

Protected _seed

calculate1

Type declaration

Parameters

requiredTolerance: Real

requiredSamples: Size

maxSamples: Size

Returns void

controlPathGenerator

Type declaration

Returns PathGenerator

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

errorEstimate

Type declaration

Returns Real

getArguments

Type declaration

Returns Arguments

getResults

Type declaration

Returns Results

isDisposed

mcsInit

Type declaration

Parameters

antitheticVariate: boolean

controlVariate: boolean

Returns McSimulation

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters

o: Observer

Returns void

registerWith

Type declaration

Parameters

h: Observable

Returns void

registerWithObservables

Type declaration

Parameters

o: Observer

Returns void