MCDigitalEngine (3) Linux Manual Page
ql/pricingengines/vanilla/mcdigitalengine.hpp – digital option Monte Carlo engine
Synopsis
#include <ql/exercise.hpp>#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/methods/montecarlo/mctraits.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Classes
class MCDigitalEngine< RNG, S >Pricing engine for digital options using Monte Carlo simulation.
class MakeMCDigitalEngine< RNG, S >
Monte Carlo digital engine factory.