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