mc_discr_geom_av_price.hpp File Reference

Monte Carlo engine for discrete geometric average price Asian. More...

#include <ql/exercise.hpp>
#include <ql/pricingengines/asian/mcdiscreteasianenginebase.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
#include <utility>

Go to the source code of this file.

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

Namespaces
namespace	QuantLib

Detailed Description

Monte Carlo engine for discrete geometric average price Asian.

Definition in file mc_discr_geom_av_price.hpp.