MCEuropeanEngine (3) Linux Manual Page
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.