mc.hpp File Reference

#include <cstdint>
#include <optional>
#include <random>
#include <vector>
#include "quant/rng.hpp"
#include "quant/term_structures.hpp"

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Classes
struct	quant::mc::GreeksResult
	Monte Carlo Greeks result (mean/SE/CI per estimator). More...
struct	quant::mc::McParams
struct	quant::mc::McResult
	Monte Carlo pricing result. More...
struct	quant::mc::McStatistic
	Summary of a Monte Carlo estimator (mean, standard error, 95% CI) More...

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::mc
	Monte Carlo GBM pricer with antithetic variates and optional control variate.

Functions
GreeksResult	quant::mc::greeks_european_call (const McParams &p)
McResult	quant::mc::price_european_call (const McParams &p)