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

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>

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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
 

Detailed Description

Monte Carlo pricing engine for discrete average Asians.

Definition in file mcdiscreteasianenginebase.hpp.