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mc_discr_geom_av_price.hpp File Reference


Detailed Description

Monte Carlo engine for discrete geometric average price Asian.

Definition in file mc_discr_geom_av_price.hpp.

#include <ql/PricingEngines/Asian/mcdiscreteasianengine.hpp>
#include <ql/Volatilities/blackconstantvol.hpp>
#include <ql/Volatilities/blackvariancecurve.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::GeometricAPOPathPricer
class  QuantLib::MakeMCDiscreteGeometricAPEngine< RNG, S >
class  QuantLib::MCDiscreteGeometricAPEngine< RNG, S >
 Monte Carlo pricing engine for discrete geometric average price Asian. More...


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