mcdigitalengine (3) - Linux Manuals

mcdigitalengine: digital option Monte Carlo engine

NAME

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.

Detailed Description

digital option Monte Carlo engine

Author

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