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

Monte Carlo lookback fixed engines. More...

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

Go to the source code of this file.

Classes

class  MCLookbackEngine< I, RNG, S >
 Monte Carlo lookback-option engine. More...
 
class  MakeMCLookbackEngine< I, RNG, S >
 Monte Carlo lookback-option engine factory. More...
 

Namespaces

namespace  QuantLib
 
namespace  QuantLib::detail
 

Functions

ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
 
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousPartialFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
 
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
 
ext::shared_ptr< PathPricer< Path > > mc_lookback_path_pricer (const ContinuousPartialFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
 

Detailed Description

Monte Carlo lookback fixed engines.

Definition in file mclookbackengine.hpp.