ql/pricingengines/barrier/mcbarrierengine.hpp File Reference

Monte Carlo barrier option engines. More...

#include <ql/instruments/barrieroption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/exercise.hpp>
Include dependency graph for mcbarrierengine.hpp:

Classes

class  MCBarrierEngine< RNG, S >
 Pricing engine for barrier options using Monte Carlo simulation. More...
class  MakeMCBarrierEngine< RNG, S >
 Monte Carlo barrier-option engine factory. More...

Detailed Description

Monte Carlo barrier option engines.