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mccliquetoption.hpp File Reference

Detailed Description

Cliquet option priced with Monte Carlo simulation.

Definition in file mccliquetoption.hpp.

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/Pricers/mcpricer.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::McCliquetOption
 simple example of Monte Carlo pricer More...

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