ql/experimental/exoticoptions/mchimalayaengine.hpp File Reference
Monte Carlo engine for Himalaya options. More...
#include <ql/experimental/exoticoptions/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:

Classes | |
class | MakeMCHimalayaEngine |
Monte Carlo Himalaya-option engine factory. More... |
Detailed Description
Monte Carlo engine for Himalaya options.