mchimalayaengine.hpp

Langue: en

Autres versions - même langue

Version: 375480 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/experimental/exoticoptions/mchimalayaengine.hpp -

Monte Carlo engine for Himalaya options.

SYNOPSIS


#include <ql/experimental/exoticoptions/himalayaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>

Classes


class MakeMCHimalayaEngine< RNG, S >
Monte Carlo Himalaya-option engine factory.

Detailed Description

Monte Carlo engine for Himalaya options.

Author

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