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>
Classes | |
| class | MakeMCHimalayaEngine< RNG, S > |
| Monte Carlo Himalaya-option engine factory. More... | |
Monte Carlo engine for Himalaya options.