mc_discr_geom_av_price.hpp

Langue: en

Autres versions - même langue

Version: 382022 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/asian/mc_discr_geom_av_price.hpp -

Monte Carlo engine for discrete geometric average price Asian.

SYNOPSIS


#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
#include <ql/exercise.hpp>

Classes


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

Detailed Description

Monte Carlo engine for discrete geometric average price Asian.

Author

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