asian.cpp File Reference

#include "quant/asian.hpp"
#include "quant/math.hpp"
#include "quant/qmc/sobol.hpp"
#include "quant/stats.hpp"
#include <pcg_random.hpp>
#include <algorithm>
#include <cmath>
#include <limits>
#include <memory>
#include <random>
#include <stdexcept>
#include <vector>

Include dependency graph for asian.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::asian
	Asian option Monte Carlo (arithmetic/geometric) with optional geometric CV.

Functions
McStatistic	quant::asian::price_mc (const McParams &p)