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Sourcecode: quantlib version File versions

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.


namespace  QuantLib


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

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