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mchimalayaengine.hpp File Reference

Detailed Description

Monte Carlo engine for Himalaya options.

Definition in file mchimalayaengine.hpp.

#include <ql/experimental/exoticoptions/himalayaoption.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::HimalayaMultiPathPricer
class  QuantLib::MakeMCHimalayaEngine< RNG, S >
 Monte Carlo Himalaya-option engine factory. More...
class  QuantLib::MCHimalayaEngine< RNG, S >

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