MCPagodaEngine (3) Linux Manual Page

ql/pricingengines/basket/mcpagodaengine.hpp – Monte Carlo engine for pagoda options.

Synopsis

#include <ql/instruments/pagodaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>

Classes

class MCPagodaEngine< RNG, S >
Pricing engine for pagoda options using Monte Carlo simulation.

Detailed Description

Monte Carlo engine for pagoda options.

Author

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