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mcvanillaengine.hpp
Langue: en
Version: 151120 (fedora - 04/07/09)
Section: 3 (Bibliothèques de fonctions)
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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