ql/legacy/pricers/mccliquetoption.hpp File Reference

Cliquet option priced with Monte Carlo simulation. More...

#include <ql/option.hpp>
#include <ql/types.hpp>
#include <ql/legacy/pricers/mcpricer.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>

Include dependency graph for mccliquetoption.hpp:


Classes

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

Detailed Description

Cliquet option priced with Monte Carlo simulation.