QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
asian Directory Reference

Files

file  analytic_cont_geom_av_price.hpp
 Analytic engine for continuous geometric average price Asian.
 
file  analytic_discr_geom_av_price.hpp
 Analytic engine for discrete geometric average price Asian.
 
file  analytic_discr_geom_av_strike.hpp
 Analytic engine for discrete geometric average-strike Asian option.
 
file  fdblackscholesasianengine.hpp
 Finite-Differences Black Scholes arithmentic asian option engine.
 
file  mc_discr_arith_av_price.hpp
 Monte Carlo engine for discrete arithmetic average price Asian.
 
file  mc_discr_arith_av_strike.hpp
 Monte Carlo engine for discrete arithmetic average-strike Asian.
 
file  mc_discr_geom_av_price.hpp
 Monte Carlo engine for discrete geometric average price Asian.
 
file  mcdiscreteasianengine.hpp
 Monte Carlo pricing engine for discrete average Asians.