QMCGeometricAsianEngine




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Creates a Quasi MonteCarlo Discrete Geometric Average Price Engine for pricing average rate options.

The simulation terminates when the required number of samples is reached.

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 : "QMCGENG"



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


High level graphic of QMCGeometricAsianEngine() 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. Samples parameter

    Required number of samples.
  5. Seed parameter

    Seed value.
  6. ControlVariate parameter

    With controlVariate variate?
  7. AntitheticVariate parameter

    With antithetic variate?
  8. BrownianBridge parameter

    With Brownian bridge


Extended information

Function Syntax

VB Syntax 


String CTAsianEngine.QMCGeometricAsianEngine( _
String Key, _
Long Reload, _
Long maxStepsPerYear, _
Long Samples, _
Long Seed, _
Boolean ControlVariate, _
Boolean AntitheticVariate, _
Boolean BrownianBridge)


Excel Spreadsheet Syntax 


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


C++ Syntax 


static std::string QMCGeometricAsianEngine(
std::string Key,
long Reload,
long maxStepsPerYear,
long Samples,
long Seed,
bool ControlVariate,
bool AntitheticVariate,
bool BrownianBridge);


DotNET Syntax 


System.String CTAsianEngineSA.QMCGeometricAsianEngine(
System.String Key,
System.Int32 Reload,
System.Int32 maxStepsPerYear,
System.Int32 Samples,
System.Int32 Seed,
System.Boolean ControlVariate,
System.Boolean AntitheticVariate,
System.Boolean BrownianBridge);

Parameter data types

ArgNameArgTypeIsKey
KeyStringFALSE
ReloadLongFALSE
maxStepsPerYearLongFALSE
SamplesLongFALSE
SeedLongFALSE
ControlVariateBooleanFALSE
AntitheticVariateBooleanFALSE
BrownianBridgeBooleanFALSE

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
KeyFALSEMyQMCGeometricAsianEngine
ReloadFALSE1
maxStepsPerYearFALSE1
SamplesFALSE2047
SeedFALSE42
ControlVariateFALSEfalse
AntitheticVariateFALSEfalse
BrownianBridgeFALSEfalse


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 QMCGeometricAsianEngine() 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 QMCGeometricAsianEngine() function call


MyQMCGeometricAsianEngine_8.QMCGENG.0

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