mchimalayaengine.hpp File Reference

Monte Carlo engine for Himalaya options. More...

#include <ql/exercise.hpp>
#include <ql/experimental/exoticoptions/himalayaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	MCHimalayaEngine< RNG, S >
class	MakeMCHimalayaEngine< RNG, S >
	Monte Carlo Himalaya-option engine factory. More...
class	HimalayaMultiPathPricer

Namespaces
namespace	QuantLib

Detailed Description

Monte Carlo engine for Himalaya options.

Definition in file mchimalayaengine.hpp.