NAME

ql/pricingengines/vanilla/mceuropeanengine.hpp - Monte Carlo European option engine.

SYNOPSIS


#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>
#include <ql/termstructures/volatility/equityfx/blackvariancecurve.hpp>

Classes


class MCEuropeanEngine< RNG, S >
European option pricing engine using Monte Carlo simulation.
class MakeMCEuropeanEngine< RNG, S >
Monte Carlo European engine factory.

Detailed Description

Monte Carlo European option engine.

Author

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