QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
Monte Carlo engine for discrete geometric average price Asian.
Definition in file mc_discr_geom_av_price.hpp.