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mcpagodaengine.hpp
Langue: en
Version: 379823 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/exoticoptions/mcpagodaengine.hpp -Monte Carlo engine for pagoda options.
SYNOPSIS
#include <ql/experimental/exoticoptions/pagodaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Classes
class MCPagodaEngine< RNG, S >
Pricing engine for pagoda options using Monte Carlo simulation.
class MakeMCPagodaEngine< RNG, S >
Monte Carlo pagoda-option engine factory.
Detailed Description
Monte Carlo engine for pagoda options.
Author
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