McEverest Class Reference
#include <ql/legacy/pricers/mceverest.hpp>
Inheritance diagram for McEverest:

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 > > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, const std::vector< Handle< BlackVolTermStructure > > &volatilities, const Matrix &correlation, Time residualTime, BigNatural seed=0) |