mc_discr_geom_av_price (3) - Linux Manuals

mc_discr_geom_av_price: Monte Carlo engine for discrete geometric average price Asian.

Command to display mc_discr_geom_av_price manual in Linux: $ man 3 mc_discr_geom_av_price

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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