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mccliquetoption.hpp
Langue: en
Version: 162350 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/legacy/pricers/mccliquetoption.hpp - Cliquet option priced with Monte Carlo simulation.SYNOPSIS
#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/legacy/pricers/mcpricer.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
Classes
class McCliquetOption
simple example of Monte Carlo pricer
Detailed Description
Cliquet option priced with Monte Carlo simulation.
Author
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