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... |