CommodityAveragePriceOptionMonteCarloEngine Class Reference

#include <qle/pricingengines/commodityapoengine.hpp>

Inheritance diagram for CommodityAveragePriceOptionMonteCarloEngine:

Public Member Functions
	CommodityAveragePriceOptionMonteCarloEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &model, QuantLib::Size samples, QuantLib::Real beta=0.0, const QuantLib::Size seed=42)
	CommodityAveragePriceOptionMonteCarloEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, QuantLib::Size samples, QuantLib::Real beta=0.0, const QuantLib::Size seed=42)
void	calculate () const override
Public Member Functions inherited from CommodityAveragePriceOptionBaseEngine
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantExt::BlackScholesModelWrapper > &model, QuantLib::Real beta=0.0)
	CommodityAveragePriceOptionBaseEngine (const QuantLib::Handle< QuantLib::YieldTermStructure > &discountCurve, const QuantLib::Handle< QuantLib::BlackVolTermStructure > &vol, QuantLib::Real beta=0.0)

Additional Inherited Members
Protected Member Functions inherited from CommodityAveragePriceOptionBaseEngine
QuantLib::Real	rho (const QuantLib::Date &ed_1, const QuantLib::Date &ed_2) const
	Return the correlation between two future expiry dates ed_1 and ed_2.
bool	isModelDependent () const
bool	barrierTriggered (const Real price, const bool logPrice) const
bool	alive (const bool barrierTriggered) const
Protected Attributes inherited from CommodityAveragePriceOptionBaseEngine
QuantLib::Handle< QuantLib::YieldTermStructure >	discountCurve_
QuantLib::Handle< QuantLib::BlackVolTermStructure >	volStructure_
QuantLib::Real	beta_
QuantLib::Real	logBarrier_

Detailed Description

Commodity APO Monte Carlo Engine Monte Carlo implementation of the APO payoff Reference: Iain Clark, Commodity Option Pricing, Wiley, section 2.7.4, equations (2.118) and (2.126)