QuantLib_McCliquetOption (3) Linux Manual Page

QuantLib::McCliquetOption – simple example of Monte Carlo pricer

Synopsis

#include <ql/legacy/pricers/mccliquetoption.hpp>

Inherits McPricer< SingleVariate, PseudoRandom >.

Public Member Functions

McCliquetOption (Option::Type type, Real underlying, Real moneyness, const Handle< YieldTermStructure > &dividendYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > &times, Real accruedCoupon, Real lastFixing, Real localCap, Real localFloor, Real globalCap, Real globalFloor, bool redemptionOnly, BigNatural seed=0)

Detailed Description

simple example of Monte Carlo pricer

Author

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