multi.cpp File Reference

#include "quant/multi.hpp"
#include <algorithm>
#include <cmath>
#include <random>
#include <stdexcept>
#include <vector>
#include "quant/stats.hpp"
#include <pcg_random.hpp>

Include dependency graph for multi.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::multi
	Multi-asset MC pricing: basket and jump-diffusion.

Functions
McStat	quant::multi::basket_european_call_mc (const BasketMcParams &p)
McStat	quant::multi::merton_call_mc (const MertonParams &p)