Class MCLDDiscreteArithmeticAPHestonEngine

Namespace: NanoQL.PricingEngines

Assembly: NanoQL.dll

MCDiscreteArithmeticAPHestonEngine on low-discrepancy draws with QuantLib's default statistics: QuantLib-Python's MCLDDiscreteArithmeticAPHestonEngine, QuantLib's MCDiscreteArithmeticAPHestonEngine<LowDiscrepancy>, its calculations closed at LowDiscrepancy and GeneralStatistics.

public static class MCLDDiscreteArithmeticAPHestonEngine

Inheritance: object

MCLDDiscreteArithmeticAPHestonEngine

Inherited Members: object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Methods

Calculate(DiscreteAveragingAsianOption, EvaluationContext, HestonProcess, bool, int?, double?, int?, long, int?, int?, bool)

Prices a discrete arithmetic average-price Asian option by Monte Carlo on a Heston process.

public static OneAssetOptionResults Calculate(DiscreteAveragingAsianOption option, EvaluationContext context, HestonProcess process, bool antitheticVariate, int? requiredSamples, double? requiredTolerance, int? maxSamples, long seed, int? timeSteps = null, int? timeStepsPerYear = null, bool controlVariate = false)

Parameters

option DiscreteAveragingAsianOption: The option.
context EvaluationContext: The evaluation context.
process HestonProcess: The Heston process.
antitheticVariate bool: Whether antithetic variates are used.
requiredSamples int?: The number of samples, or null.
requiredTolerance double?: The absolute tolerance, or null; it takes precedence.
maxSamples int?: The most samples for a tolerance, or null for no limit.
seed long: The seed, in [1, 4294967295].
timeSteps int?: The number of time steps, or null.
timeStepsPerYear int?: The number of time steps per year, or null.
controlVariate bool: Whether the geometric average is a control variate.

Returns

OneAssetOptionResults: The option's results, the NPV, the error estimate and the grid; the expired results when it has expired.

Exceptions

ArgumentNullException: The option, the context or the process is null.
ArgumentException: Both the time steps and the time steps per year are given.
ArgumentOutOfRangeException: A number of samples or steps is negative, or the seed is outside its range.
NanoQLException: The option's past fixings fail its checks, the payoff isn't plain vanilla, the exercise isn't European, every fixing is in the past, or the samples can't reach the tolerance.