mc_discr_geom_av_price (3) Linux Manual Page
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.