quant-pricer-cpp/mc__barrier_8hpp_source.html

#pragma once


#include "quant/barrier.hpp"

#include "quant/mc.hpp"


namespace quant::mc {


McResult price_barrier_option(const McParams& base, double strike, OptionType opt,

                              const BarrierSpec& barrier);


} // namespace quant::mc

barrier.hpp

strike
double strike
Definition mc.cpp:70

mc.hpp

barrier
BarrierSpec barrier
Definition mc_barrier.cpp:90

opt
OptionType opt
Definition mc_barrier.cpp:89

quant::mc
Monte Carlo GBM pricer with antithetic variates and optional control variate.
Definition mc.hpp:12

quant::mc::price_barrier_option
McResult price_barrier_option(const McParams &base, double strike, OptionType opt, const BarrierSpec &barrier)
Definition mc_barrier.cpp:333

quant::OptionType
OptionType
Definition barrier.hpp:6