Monte Carlo engine for Himalaya options. More...
#include <ql/experimental/exoticoptions/himalayaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Classes | |
class | MakeMCHimalayaEngine< RNG, S > |
Monte Carlo Himalaya-option engine factory. More... | |
Namespaces | |
namespace | QuantLib |
Monte Carlo engine for Himalaya options.