Monte Carlo engine for discrete geometric average price Asian. More...
#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. More... | |
Monte Carlo engine for discrete geometric average price Asian.