ql/pricingengines/basket/mcpagodaengine.hpp File Reference
Monte Carlo engine for pagoda options. More...
#include <ql/instruments/pagodaoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Include dependency graph for mcpagodaengine.hpp:

Classes | |
class | MCPagodaEngine |
Pricing engine for pagoda options using Monte Carlo simulation. More... |
Detailed Description
Monte Carlo engine for pagoda options.