McCliquetOption Class Reference
#include <ql/legacy/pricers/mccliquetoption.hpp>
Inheritance diagram for McCliquetOption:

Detailed Description
simple example of Monte Carlo pricer
Public Member Functions | |
McCliquetOption (Option::Type type, Real underlying, Real moneyness, const Handle< YieldTermStructure > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > ×, Real accruedCoupon, Real lastFixing, Real localCap, Real localFloor, Real globalCap, Real globalFloor, bool redemptionOnly, BigNatural seed=0) |