ql/pricingengines/asian/mcdiscreteasianengine.hpp File Reference

Monte Carlo pricing engine for discrete average Asians. More...

#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/instruments/asianoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Include dependency graph for mcdiscreteasianengine.hpp:


Classes

class  MCDiscreteAveragingAsianEngine
 Pricing engine for discrete average Asians using Monte Carlo simulation. More...

Detailed Description

Monte Carlo pricing engine for discrete average Asians.