ql/pricingengines/vanilla/mcdigitalengine.hpp File Reference


Detailed Description

digital option Monte Carlo engine

#include <ql/exercise.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>
#include <ql/methods/montecarlo/mctraits.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Include dependency graph for mcdigitalengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  MCDigitalEngine
 Pricing engine for digital options using Monte Carlo simulation. More...
class  MakeMCDigitalEngine
 Monte Carlo digital engine factory. More...