QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
mcperformanceengine.hpp File Reference
#include <ql/exercise.hpp>
#include <ql/instruments/cliquetoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>

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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