mccamfxoptionengine.hpp File Reference

MC CAM engine for FX Option instrument. More...

#include <qle/pricingengines/mcmultilegbaseengine.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
#include <qle/instruments/cashsettledeuropeanoption.hpp>
#include <qle/instruments/vanillaforwardoption.hpp>

Classes
class	McCamFxOptionEngineBase
class	McCamFxOptionEngine
class	McCamFxEuropeanForwardOptionEngine
class	McCamFxEuropeanCSOptionEngine

Detailed Description

MC CAM engine for FX Option instrument.