McPerformanceOption Class Reference

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

Inheritance diagram for McPerformanceOption:

Inheritance graph
[legend]
List of all members.

Detailed Description

Performance option computed using Monte Carlo simulation.

A performance option is a variant of a cliquet option: the payoff of each forward-starting (a.k.a. deferred strike) options is $ max(S/X- 1) $.


Public Member Functions

 McPerformanceOption (Option::Type type, Real underlying, Real moneyness, const Handle< YieldTermStructure > &dividendYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > &times, BigNatural seed=0)