mccliquetoption (3) - Linux Manuals

mccliquetoption: Cliquet option priced with Monte Carlo simulation.

NAME

ql/legacy/pricers/mccliquetoption.hpp - Cliquet option priced with Monte Carlo simulation.

SYNOPSIS

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/legacy/pricers/mcpricer.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Classes

class McCliquetOption
simple example of Monte Carlo pricer

Detailed Description

Cliquet option priced with Monte Carlo simulation.

Author

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