QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <ql/exercise.hpp>
#include <ql/instruments/cliquetoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | MCPerformanceEngine< RNG, S > |
Pricing engine for performance options using Monte Carlo simulation. More... | |
class | MakeMCPerformanceEngine< RNG, S > |
Monte Carlo performance-option engine factory. More... | |
class | PerformanceOptionPathPricer |
Namespaces | |
namespace | QuantLib |