quant::asian Namespace Reference

Asian option Monte Carlo (arithmetic/geometric) with optional geometric CV. More...

Classes
struct	McParams
struct	McStatistic

Enumerations
enum class	Average { Arithmetic , Geometric }
enum class	Payoff { FixedStrike , FloatingStrike }
enum class	Qmc { None , Sobol , SobolScrambled }

Functions
McStatistic	price_mc (const McParams &p)

Detailed Description

Asian option Monte Carlo (arithmetic/geometric) with optional geometric CV.

Enumeration Type Documentation

Average

enum class quant::asian::Average

strong

Enumerator
Arithmetic
Geometric

Payoff

enum class quant::asian::Payoff

strong

Enumerator
FixedStrike
FloatingStrike

Qmc

enum class quant::asian::Qmc

strong

Enumerator
None
Sobol
SobolScrambled

Function Documentation

price_mc()

asian::McStatistic quant::asian::price_mc

(

const McParams &

p

)