mceuropeanhestonengine.hpp

Langue: en

Autres versions - même langue

Version: 375418 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/mceuropeanhestonengine.hpp -

Monte Carlo Heston-model engine for European options.

SYNOPSIS


#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/hestonprocess.hpp>

Classes


class MCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston-model engine for European options.
class MakeMCEuropeanHestonEngine< RNG, S >
Monte Carlo Heston European engine factory.

Detailed Description

Monte Carlo Heston-model engine for European options.

Author

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