QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
mcdoublebarrierengine.hpp File Reference

Monte Carlo barrier option engines. More...

#include <ql/exercise.hpp>
#include <ql/instruments/doublebarrieroption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  MCDoubleBarrierEngine< RNG, S >
 
class  MakeMCDoubleBarrierEngine< RNG, S >
 Monte Carlo double-barrier-option engine factory. More...
 
class  DoubleBarrierPathPricer
 

Namespaces

namespace  QuantLib
 

Detailed Description

Monte Carlo barrier option engines.

Definition in file mcdoublebarrierengine.hpp.