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< RNG, S >
 Monte Carlo Himalaya-option engine factory. More...

Detailed Description

Monte Carlo engine for Himalaya options.