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mcperformanceoption.hpp File Reference

Detailed Description

Performance option priced with Monte Carlo simulation.

Definition in file mcperformanceoption.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.


namespace  QuantLib


class  QuantLib::McPerformanceOption
 Performance option computed using Monte Carlo simulation. More...

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