ql/pricingengines/basket/mchimalayaengine.hpp File Reference

Monte Carlo engine for Himalaya options. More...

#include <ql/instruments/himalayaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>

Include dependency graph for mchimalayaengine.hpp:


Detailed Description

Monte Carlo engine for Himalaya options.