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mchimalayaengine.hpp
Langue: en
Version: 155801 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/basket/mchimalayaengine.hpp - Monte Carlo engine for Himalaya options.SYNOPSIS
#include <ql/instruments/himalayaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Detailed Description
Monte Carlo engine for Himalaya options.
Author
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