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mcpathbasketengine.hpp
Langue: en
Version: 383050 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/experimental/mcbasket/mcpathbasketengine.hpp -Path-dependent European basket MC engine.
SYNOPSIS
#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/timegrid.hpp>
Classes
class MCPathBasketEngine< RNG, S >
Pricing engine for path dependent basket options using.
class MakeMCPathBasketEngine< RNG, S >
Monte Carlo Path Basket engine factory.
Detailed Description
Path-dependent European basket MC engine.
Author
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