PMCArithmeticAsianEngine




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Creates a Pseudo MonteCarlo Discrete Arithmetic Average Price Engine for pricing average rate options.

The simulation terminates when either the required tolerance is reached or the maximum number of simulations breached.

The string 'Key' resulting from a successful construction of this engine object can be passed to the DiscreteAsianOption() function in order to create a Discrete Asian Option object that can be priced via the PrcObjDiscreteAsianOption() function.



This function creates an object and returns a string-key value to represent this created object.
The TAG value of the string-key returned (second part of the key) is : "PMCAENG"



Note: Within Excel, the function is named - CT.ENG.PMCArithmeticAsianEngine


High level graphic of PMCArithmeticAsianEngine() function with parameters. Blue square node is the actual function with the parameters ordered.



Parameter Description


  1. Key parameter

    Key value to use as a handle for the created object
  2. Reload parameter

    When creating this object for the first time, set this parameter to a positive value. Within Excel, when re-computing a worksheet where you do not wish to recreate the object, set this parameter to zero (0).
  3. maxStepsPerYear parameter

    Maximum number of steps PER YEAR.
  4. Seed parameter

    Seed value.
  5. ControlVariate parameter

    With controlVariate variate?
  6. AntitheticVariate parameter

    With antithetic variate?
  7. BrownianBridge parameter

    With Brownian bridge
  8. Tolerance parameter

    The required tolerance
  9. MaxSamples parameter

    Maximum number of samples.


Extended information

Function Syntax

VB Syntax 


String CTAsianEngine.PMCArithmeticAsianEngine( _
String Key, _
Long Reload, _
Long maxStepsPerYear, _
Long Seed, _
Boolean ControlVariate, _
Boolean AntitheticVariate, _
Boolean BrownianBridge, _
Double Tolerance, _
Long MaxSamples)


Excel Spreadsheet Syntax 


=CT.ENG.PMCArithmeticAsianEngine(
Excel String Cell Key,
Excel Numeric Cell Reload,
Excel Numeric Cell maxStepsPerYear,
Excel Numeric Cell Seed,
Excel Boolean Value Cell ControlVariate,
Excel Boolean Value Cell AntitheticVariate,
Excel Boolean Value Cell BrownianBridge,
Excel Numeric Cell Tolerance,
Excel Numeric Cell MaxSamples)


C++ Syntax 


static std::string PMCArithmeticAsianEngine(
std::string Key,
long Reload,
long maxStepsPerYear,
long Seed,
bool ControlVariate,
bool AntitheticVariate,
bool BrownianBridge,
double Tolerance,
long MaxSamples);


DotNET Syntax 


System.String CTAsianEngineSA.PMCArithmeticAsianEngine(
System.String Key,
System.Int32 Reload,
System.Int32 maxStepsPerYear,
System.Int32 Seed,
System.Boolean ControlVariate,
System.Boolean AntitheticVariate,
System.Boolean BrownianBridge,
System.Double Tolerance,
System.Int32 MaxSamples);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
maxStepsPerYearLongFALSE
SeedLongFALSE
ControlVariateBooleanFALSE
AntitheticVariateBooleanFALSE
BrownianBridgeBooleanFALSE
ToleranceDoubleFALSE
MaxSamplesLongFALSE

Example Inputs

The first column represents the name of the parameters. The second column specifies whether the parameters are optional or not. Finally the last column provides some sample input data.
Function call input string-keys are always in the format : "NAME.EXTTAG.TICKER" The "EXTTAG.TICKER" part is determined from the output of other, capetools, object creation functions.


ArgNameIsOptional (Excel only)Example
KeyFALSEMyPMCArithmeticAsianEngine
ReloadFALSE1
maxStepsPerYearFALSE1
SeedFALSE42
ControlVariateFALSEfalse
AntitheticVariateFALSEfalse
BrownianBridgeFALSEfalse
ToleranceFALSE0.02
MaxSamplesFALSE100000


Example function usage


The C# example below contains all the sub-function calls leading up to this function call. As a result, the example can contain a lot of code.

The VB.NET, J#, C++.NET, Java, Excel VBA, Visual Basic 6 (via COM) and C++ examples below contain function code stubs for the calls leading up to this function call. However, the function call for this function is displayed.
You can easily reproduce the stub functions code from the C# example.


If you are accessing this functrion via the MiniXL libraries, this function is present within the CT.QL.EnginePricing20 MiniXL Excel Addin.

Within our Excel Example Addin Generator, we have used the following QuantTools sub-functions in order to prepare the arguments needed to call the PMCArithmeticAsianEngine() function. If you are executing this function via the MiniXL libraries, the module addin name, (in brackets, to the right of the sub-functions listed below), indicates the MiniXL library in which the sub-function is held. You will need to load this library into your Excel session (along with any other libraries that the sub-function call within the addin requires (ie - CT.QT.Utils20 addin in almost all cases) in order for the example to compute successfully.


The following four examples demostrate calling this function within a Microsoft .NET environment

The following four examples demostrate calling this function within a non .NET environment

The following is a sample output from executing the PMCArithmeticAsianEngine() function call


MyPMCArithmeticAsianEngine_3.PMCAENG.0

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