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

mcpagodaengine.hpp File Reference

Detailed Description

Monte Carlo engine for pagoda options.

Definition in file mcpagodaengine.hpp.

#include <ql/experimental/exoticoptions/pagodaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>

Go to the source code of this file.


namespace  QuantLib


class  QuantLib::MakeMCPagodaEngine< RNG, S >
 Monte Carlo pagoda-option engine factory. More...
class  QuantLib::MCPagodaEngine< RNG, S >
 Pricing engine for pagoda options using Monte Carlo simulation. More...
class  QuantLib::PagodaMultiPathPricer

Generated by  Doxygen 1.6.0   Back to index