mclookbackengine.hpp File Reference

Monte Carlo lookback fixed engines. More...

#include <ql/exercise.hpp>
#include <ql/instruments/lookbackoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	MCLookbackEngine< I, RNG, S >
	Monte Carlo lookback-option engine. More...
class	MakeMCLookbackEngine< I, RNG, S >
	Monte Carlo lookback-option engine factory. More...

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Functions
ext::shared_ptr< PathPricer< Path > >	mc_lookback_path_pricer (const ContinuousFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
ext::shared_ptr< PathPricer< Path > >	mc_lookback_path_pricer (const ContinuousPartialFixedLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
ext::shared_ptr< PathPricer< Path > >	mc_lookback_path_pricer (const ContinuousFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)
ext::shared_ptr< PathPricer< Path > >	mc_lookback_path_pricer (const ContinuousPartialFloatingLookbackOption::arguments &args, const GeneralizedBlackScholesProcess &process, DiscountFactor discount)

Detailed Description

Monte Carlo lookback fixed engines.

Definition in file mclookbackengine.hpp.