lookback.cpp File Reference

#include "quant/lookback.hpp"
#include "quant/math.hpp"
#include "quant/qmc/brownian_bridge.hpp"
#include "quant/stats.hpp"
#include <pcg_random.hpp>
#include <algorithm>
#include <cmath>
#include <memory>
#include <random>
#include <vector>

Include dependency graph for lookback.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::lookback
	Lookback option Monte Carlo (fixed/floating strike) with optional bridge.

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