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

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 > ÷ndYield, const Handle< YieldTermStructure > &riskFreeRate, const Handle< BlackVolTermStructure > &volatility, const std::vector< Time > ×, BigNatural seed=0) |