ql/PricingEngines/Asian/mcdiscreteasianengine.hpp File Reference


Detailed Description

Monte Carlo pricing engine for discrete average Asians.

#include <ql/PricingEngines/mcsimulation.hpp>
#include <ql/Instruments/asianoption.hpp>
#include <ql/Processes/blackscholesprocess.hpp>

Include dependency graph for mcdiscreteasianengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  MCDiscreteAveragingAsianEngine
 Pricing engine for discrete average Asians using Monte Carlo simulation. More...

QuantLib.org
QuantLib
Hosted by
SourceForge.net Logo
Documentation generated by
doxygen