Rechercher une page de manuel
longstaffschwartzpathpricer.hpp
Langue: en
Version: 166293 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
NAME
ql/methods/montecarlo/longstaffschwartzpathpricer.hpp - Longstaff-Schwarz path pricer for early exercise options.SYNOPSIS
#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/math/functional.hpp>
#include <ql/math/linearleastsquaresregression.hpp>
#include <ql/methods/montecarlo/pathpricer.hpp>
#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>
#include <boost/bind.hpp>
#include <boost/function.hpp>
Classes
class LongstaffSchwartzPathPricer< PathType >
Longstaff-Schwarz path pricer for early exercise options.
Detailed Description
Longstaff-Schwarz path pricer for early exercise options.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre