mceuropeangjrgarchengine.hpp File Reference

Monte Carlo GJR-GARCH-model engine for European options. More...

#include <ql/pricingengines/vanilla/mcvanillaengine.hpp>
#include <ql/processes/gjrgarchprocess.hpp>
#include <utility>

Go to the source code of this file.

Classes
class	MCEuropeanGJRGARCHEngine< RNG, S >
	Monte Carlo GJR-GARCH-model engine for European options. More...
class	MakeMCEuropeanGJRGARCHEngine< RNG, S >
	Monte Carlo GJR-GARCH European engine factory. More...
class	EuropeanGJRGARCHPathPricer

Namespaces
namespace	QuantLib

Detailed Description

Monte Carlo GJR-GARCH-model engine for European options.

Definition in file mceuropeangjrgarchengine.hpp.