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QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
| file | turnbullwakemanasianengine.hpp |
| Turnbull Wakeman moment-matching Asian option Engine. | |
Classes | |
| class | AnalyticContinuousGeometricAveragePriceAsianHestonEngine |
| Pricing engine for European continuous geometric average price Asian. More... | |
| class | AnalyticDiscreteGeometricAveragePriceAsianHestonEngine |
| Pricing engine for European discrete geometric average price Asian. More... | |
| class | AnalyticContinuousGeometricAveragePriceAsianEngine |
| Pricing engine for European continuous geometric average price Asian. More... | |
| class | AnalyticDiscreteGeometricAveragePriceAsianEngine |
| Pricing engine for European discrete geometric average price Asian. More... | |
| class | AnalyticDiscreteGeometricAverageStrikeAsianEngine |
| Pricing engine for European discrete geometric average-strike Asian option. More... | |
| class | MCDiscreteArithmeticAPEngine< RNG, S > |
| Monte Carlo pricing engine for discrete arithmetic average price Asian. More... | |
| class | MCDiscreteArithmeticAPHestonEngine< RNG, S, P > |
| Heston MC pricing engine for discrete arithmetic average price Asian. More... | |
| class | MCDiscreteArithmeticASEngine< RNG, S > |
| Monte Carlo pricing engine for discrete arithmetic average-strike Asian. More... | |
| class | MCDiscreteGeometricAPEngine< RNG, S > |
| Monte Carlo pricing engine for discrete geometric average price Asian. More... | |
| class | MCDiscreteGeometricAPHestonEngine< RNG, S, P > |
| Heston MC pricing engine for discrete geometric average price Asian. More... | |
| class | MCDiscreteAveragingAsianEngineBase< MC, RNG, S > |
| Pricing engine for discrete average Asians using Monte Carlo simulation. More... | |