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mc_discr_geom_av_price.hpp
Langue: en
Version: 382022 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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