Example of monte carlo pricing with market models
MarketModels
MarketModels is an example of using QuantLib.
It prices a series of inverse floaters under market models using simulation.
The source code MarketModels.cpp, BermudanSwaption(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.
The QuantLib Group (see Authors.txt).
This manual page was added by Dirk Eddelbuettel <[email protected]>, the Debian GNU/Linux maintainer for QuantLib.