Monte Carlo barrier option engines. More...
#include <ql/instruments/barrieroption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/exercise.hpp>
Classes | |
class | MCBarrierEngine< RNG, S > |
Pricing engine for barrier options using Monte Carlo simulation. More... | |
class | MakeMCBarrierEngine< RNG, S > |
Monte Carlo barrier-option engine factory. More... | |
Namespaces | |
namespace | QuantLib |
Monte Carlo barrier option engines.