QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Namespaces | Functions
mclookbackengine.cpp File Reference
#include <ql/pricingengines/lookback/mclookbackengine.hpp>
#include <algorithm>

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Namespaces

namespace  QuantLib
 
namespace  QuantLib::detail
 

Functions

ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
 
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousPartialFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
 
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
 
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousPartialFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)