ql/pricingengines/asian/mc_discr_geom_av_price.hpp File Reference


Detailed Description

Monte Carlo engine for discrete geometric average price Asian.

#include <ql/pricingengines/asian/mcdiscreteasianengine.hpp>
#include <ql/termstructures/volatilities/blackconstantvol.hpp>
#include <ql/termstructures/volatilities/blackvariancecurve.hpp>

Include dependency graph for mc_discr_geom_av_price.hpp:


Namespaces

namespace  QuantLib

Classes

class  MCDiscreteGeometricAPEngine
 Monte Carlo pricing engine for discrete geometric average price Asian. More...