quant::lookback Namespace Reference

Lookback option Monte Carlo (fixed/floating strike) with optional bridge. More...

Classes
struct	McParams
struct	McStatistic

Enumerations
enum class	Type { FixedStrike , FloatingStrike }

Functions
McStatistic	price_mc (const McParams &p)

Detailed Description

Lookback option Monte Carlo (fixed/floating strike) with optional bridge.

Enumeration Type Documentation

Type

enum class quant::lookback::Type

strong

Enumerator
FixedStrike
FloatingStrike

Function Documentation

price_mc()

McStatistic quant::lookback::price_mc

(

const McParams &

p

)