QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Turnbull Wakeman moment-matching Asian option Engine. More...
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
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Classes | |
class | TurnbullWakemanAsianEngine |
Namespaces | |
namespace | QuantLib |
Turnbull Wakeman moment-matching Asian option Engine.
Definition in file turnbullwakemanasianengine.hpp.