mcbarrierengine.hpp

Langue: en

Autres versions - même langue

Version: 373734 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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