McCliquetOption (3) Linux Manual Page

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

Generated automatically by Doxygen for QuantLib from the source code.