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>
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... | |
digital option Monte Carlo engine