quant::multi Namespace Reference

Multi-asset MC pricing: basket and jump-diffusion. More...

Classes
struct	BasketMcParams
struct	McStat
struct	MertonParams

Functions
McStat	basket_european_call_mc (const BasketMcParams &p)
McStat	merton_call_mc (const MertonParams &p)

Detailed Description

Multi-asset MC pricing: basket and jump-diffusion.

Function Documentation

basket_european_call_mc()

McStat quant::multi::basket_european_call_mc

(

const BasketMcParams &

p

)

merton_call_mc()

McStat quant::multi::merton_call_mc

(

const MertonParams &

p

)