McEverest Class Reference

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

Inheritance diagram for McEverest:

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Detailed Description

Everest-type option pricer.

The payoff of an Everest option is simply given by the final price / initial price ratio of the worst performer


Public Member Functions

 McEverest (const std::vector< Handle< YieldTermStructure > > &dividendYield, const Handle< YieldTermStructure > &riskFreeRate, const std::vector< Handle< BlackVolTermStructure > > &volatilities, const Matrix &correlation, Time residualTime, BigNatural seed=0)