ql/legacy/pricers/mccliquetoption.hpp File Reference


Detailed Description

Cliquet 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 mccliquetoption.hpp:


Namespaces

namespace  QuantLib

Classes

class  McCliquetOption
 simple example of Monte Carlo pricer More...