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QuantLib_McCliquetOption
Langue: en
Version: 169191 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::McCliquetOption - simple example of Monte Carlo pricerSYNOPSIS
#include <ql/legacy/pricers/mccliquetoption.hpp>
Inherits McPricer< SingleVariate, PseudoRandom >.
Public Member Functions
McCliquetOption (Option::Type type, Real underlying, Real moneyness, const Handle< YieldTermStructure > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > ×, Real accruedCoupon, Real lastFixing, Real localCap, Real localFloor, Real globalCap, Real globalFloor, bool redemptionOnly, BigNatural seed=0)
Detailed Description
simple example of Monte Carlo pricer
Author
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