mcvanillaengine.hpp

Langue: en

Autres versions - même langue

Version: 373146 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/mcvanillaengine.hpp -

Monte Carlo vanilla option engine.

SYNOPSIS


#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/instruments/vanillaoption.hpp>

Classes


class MCVanillaEngine< MC, RNG, S, Inst >
Pricing engine for vanilla options using Monte Carlo simulation.

Detailed Description

Monte Carlo vanilla option engine.

Author

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