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mcbasketengine.hpp
Langue: en
Version: 157218 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/basket/mcbasketengine.hpp - European basket MC Engine.SYNOPSIS
#include <ql/instruments/basketoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Classes
class MCBasketEngine< RNG, S >
Pricing engine for basket options using Monte Carlo simulation.
Detailed Description
European basket MC Engine.
Author
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