QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
mc_discr_geom_av_price.hpp File Reference

Monte Carlo engine for discrete geometric average price Asian. More...

#include <ql/exercise.hpp>
#include <ql/pricingengines/asian/mcdiscreteasianenginebase.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  MCDiscreteGeometricAPEngine< RNG, S >
 Monte Carlo pricing engine for discrete geometric average price Asian. More...
 
class  GeometricAPOPathPricer
 
class  MakeMCDiscreteGeometricAPEngine< RNG, S >
 

Namespaces

namespace  QuantLib
 

Detailed Description

Monte Carlo engine for discrete geometric average price Asian.

Definition in file mc_discr_geom_av_price.hpp.