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...
class  MakeMCPagodaEngine
 Monte Carlo pagoda-option engine factory. More...

Detailed Description

Monte Carlo engine for pagoda options.