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mceuropeangjrgarchengine.hpp
Langue: en
Version: 376494 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp -Monte Carlo GJR-GARCH-model engine for European options.
SYNOPSIS
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.hpp>
Classes
class MCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH-model engine for European options.
class MakeMCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH European engine factory.
Detailed Description
Monte Carlo GJR-GARCH-model engine for European options.
Author
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