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... |