QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Monte Carlo pricing engine for discrete average Asians. More...
#include <ql/exercise.hpp>
#include <ql/instruments/asianoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | PastFixingsOnly |
class | MCDiscreteAveragingAsianEngineBase< MC, RNG, S > |
Pricing engine for discrete average Asians using Monte Carlo simulation. More... | |
Namespaces | |
namespace | QuantLib |
namespace | QuantLib::detail |
Monte Carlo pricing engine for discrete average Asians.
Definition in file mcdiscreteasianenginebase.hpp.