QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
Monte Carlo barrier option engines.
Definition in file mcdoublebarrierengine.hpp.