american.hpp File Reference

#include <cstddef>
#include <cstdint>
#include <optional>
#include <vector>
#include "quant/barrier.hpp"
#include "quant/pde.hpp"

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Classes
struct	quant::american::Greeks
struct	quant::american::LsmcDiagnostics
struct	quant::american::LsmcParams
struct	quant::american::LsmcResult
struct	quant::american::Params
struct	quant::american::PsorParams
struct	quant::american::PsorResult

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::american

Functions
Greeks	quant::american::greeks_psor_bump (PsorParams params, double rel_bump)
double	quant::american::price_binomial_crr (const Params &p, int steps)
LsmcResult	quant::american::price_lsmc (const LsmcParams &params)
PsorResult	quant::american::price_psor (const PsorParams &params)