ql/experimental/exoticoptions/mcpagodaengine.hpp File Reference

Monte Carlo engine for pagoda options. More...

#include <ql/experimental/exoticoptions/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< RNG, S >
 Pricing engine for pagoda options using Monte Carlo simulation. More...
class  MakeMCPagodaEngine< RNG, S >
 Monte Carlo pagoda-option engine factory. More...

Detailed Description

Monte Carlo engine for pagoda options.