McPerformanceOption Class Reference

#include <mcperformanceoption.hpp>

Inheritance diagram for McPerformanceOption:

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Detailed Description

Performance option computed using Monte Carlo simulation.

A performance option is a variant of a cliquet option: the payoff of each forward-starting (a.k.a. deferred strike) options is $ max(S/X- 1) $.


Public Member Functions

 McPerformanceOption (Option::Type type, double underlying, double moneyness, const std::vector< Spread > &dividendYield, const std::vector< Rate > &riskFreeRate, const std::vector< Time > &times, const std::vector< double > &volatility, bool antitheticVariance, long seed=0)


The documentation for this class was generated from the following files:

QuantLib.org
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