NAME

ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp - Monte Carlo GJR-GARCH-model engine for European options.

SYNOPSIS


#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.hpp>

Classes


class MCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH-model engine for European options.
class MakeMCEuropeanGJRGARCHEngine< RNG, S >
Monte Carlo GJR-GARCH European engine factory.

Detailed Description

Monte Carlo GJR-GARCH-model engine for European options.

Author

Generated automatically by Doxygen for QuantLib from the source code.