asian.hpp File Reference

#include <cstdint>

Include dependency graph for asian.hpp:

This graph shows which files directly or indirectly include this file:

Go to the source code of this file.

Classes
struct	quant::asian::McParams
struct	quant::asian::McStatistic

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

Enumerations
enum class	quant::asian::Average { quant::asian::Arithmetic , quant::asian::Geometric }
enum class	quant::asian::Payoff { quant::asian::FixedStrike , quant::asian::FloatingStrike }
enum class	quant::asian::Qmc { quant::asian::None , quant::asian::Sobol , quant::asian::SobolScrambled }

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