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mclongstaffschwartzengine.hpp
Langue: en
Version: 383367 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/pricingengines/mclongstaffschwartzengine.hpp -Longstaff Schwartz Monte Carlo engine for early exercise options.
SYNOPSIS
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>
Classes
class MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >
Longstaff-Schwarz Monte Carlo engine for early exercise options.
Detailed Description
Longstaff Schwartz Monte Carlo engine for early exercise options.
Author
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