McEverest Class Reference

#include <ql/Pricers/mceverest.hpp>

Inheritance diagram for McEverest:

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Detailed Description

Everest-type option pricer.

The payoff of an Everest option is simply given by the final price / initial price ratio of the worst performer


Public Member Functions

 McEverest (const Array &dividendYield, const Matrix &covariance, Rate riskFreeRate, Time residualTime, bool antitheticVariance, long seed=0)


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