QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Monte Carlo barrier option engines. More...
#include <ql/exercise.hpp>
#include <ql/instruments/barrieroption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | MCBarrierEngine< RNG, S > |
Pricing engine for barrier options using Monte Carlo simulation. More... | |
class | MakeMCBarrierEngine< RNG, S > |
Monte Carlo barrier-option engine factory. More... | |
class | BarrierPathPricer |
class | BiasedBarrierPathPricer |
Namespaces | |
namespace | QuantLib |
Monte Carlo barrier option engines.
Definition in file mcbarrierengine.hpp.