QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Monte Carlo European option engine. More...
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>
Go to the source code of this file.
Classes | |
class | MCEuropeanEngine< RNG, S > |
European option pricing engine using Monte Carlo simulation. More... | |
class | MakeMCEuropeanEngine< RNG, S > |
Monte Carlo European engine factory. More... | |
class | EuropeanPathPricer |
Namespaces | |
namespace | QuantLib |
Monte Carlo European option engine.
Definition in file mceuropeanengine.hpp.