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...