ql/legacy/pricers/mcperformanceoption.hpp File Reference


Detailed Description

Performance option priced with Monte Carlo simulation.

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/legacy/pricers/mcpricer.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>

Include dependency graph for mcperformanceoption.hpp:


Namespaces

namespace  QuantLib

Classes

class  McPerformanceOption
 Performance option computed using Monte Carlo simulation. More...