McCliquetOption Class Reference

#include <ql/Pricers/mccliquetoption.hpp>

Inheritance diagram for McCliquetOption:

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Detailed Description

simple example of Monte Carlo pricer


Public Member Functions

 McCliquetOption (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, double accruedCoupon, double lastFixing, double localCap, double localFloor, double globalCap, double globalFloor, bool redemptionOnly, bool antitheticVariance, long seed=0)


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