ql/pricingengines/vanilla/mcdigitalengine.hpp File Reference

digital option Monte Carlo engine More...

#include <ql/exercise.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp>
#include <ql/methods/montecarlo/mctraits.hpp>
#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
Include dependency graph for mcdigitalengine.hpp:

Classes

class  MCDigitalEngine< RNG, S >
 Pricing engine for digital options using Monte Carlo simulation. More...
class  MakeMCDigitalEngine< RNG, S >
 Monte Carlo digital engine factory. More...

Detailed Description

digital option Monte Carlo engine