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mcbarrierengine.hpp
Langue: en
Version: 373734 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/barrier/mcbarrierengine.hpp -Monte Carlo barrier option engines.
SYNOPSIS
#include <ql/instruments/barrieroption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/exercise.hpp>
Classes
class MCBarrierEngine< RNG, S >
Pricing engine for barrier options using Monte Carlo simulation.
class MakeMCBarrierEngine< RNG, S >
Monte Carlo barrier-option engine factory.
Detailed Description
Monte Carlo barrier option engines.
Author
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