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mcdigitalengine.hpp File Reference


Detailed Description

digital option Monte Carlo engine

Definition in file mcdigitalengine.hpp.

#include <ql/exercise.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>
#include <ql/MonteCarlo/mctraits.hpp>
#include <ql/PricingEngines/Vanilla/mcvanillaengine.hpp>
#include <ql/Processes/blackscholesprocess.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

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


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