mcpagodaengine.hpp

Langue: en

Autres versions - même langue

Version: 379823 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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