Logo Search packages:      
Sourcecode: quantlib version File versions  Download package

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/legacy/pricers/mcpricer.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

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


Generated by  Doxygen 1.6.0   Back to index