mc_barrier.hpp File Reference

#include "quant/barrier.hpp"
#include "quant/mc.hpp"

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

Functions
McResult	quant::mc::price_barrier_option (const McParams &base, double strike, OptionType opt, const BarrierSpec &barrier)