mcdigitalengine.hpp

Langue: en

Autres versions - même langue

Version: 373572 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/mcdigitalengine.hpp -

digital option Monte Carlo engine

SYNOPSIS


#include <ql/exercise.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/methods/montecarlo/mctraits.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Classes


class MCDigitalEngine< RNG, S >
Pricing engine for digital options using Monte Carlo simulation.
class MakeMCDigitalEngine< RNG, S >
Monte Carlo digital engine factory.

Detailed Description

digital option Monte Carlo engine

Author

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