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mcbarrierengine.hpp File Reference

Monte Carlo barrier option engines. More...

#include <ql/Instruments/barrieroption.hpp>
#include <ql/PricingEngines/mcsimulation.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
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Classes

class  QuantLib::BarrierPathPricer
class  QuantLib::BiasedBarrierPathPricer
class  QuantLib::MCBarrierEngine< RNG, S >
 Pricing engine for barrier options using Monte Carlo simulation. More...

Detailed Description

Monte Carlo barrier option engines.

Definition in file mcbarrierengine.hpp.


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