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.