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mceuropeanengine.hpp
Langue: en
Version: 379987 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/vanilla/mceuropeanengine.hpp -Monte Carlo European option engine.
SYNOPSIS
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
Classes
class MCEuropeanEngine< RNG, S >
European option pricing engine using Monte Carlo simulation.
class MakeMCEuropeanEngine< RNG, S >
Monte Carlo European engine factory.
Detailed Description
Monte Carlo European option engine.
Author
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