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QuantLib_MCAmericanBasketEngine
Langue: en
Version: 170342 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCAmericanBasketEngine - least-square Monte Carlo engineSYNOPSIS
#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>
Inherits MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >.
Public Member Functions
MCAmericanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())
Protected Member Functions
boost::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer () const
Detailed Description
template<class RNG = PseudoRandom> class QuantLib::MCAmericanBasketEngine< RNG >
least-square Monte Carlo engineWarning
- This method is intrinsically weak for out-of-the-money options.
Author
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