QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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) |
Monte Carlo lookback fixed engines.
Definition in file mclookbackengine.hpp.