mcamericanbasketengine.hpp

Langue: en

Autres versions - même langue

Version: 382842 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/basket/mcamericanbasketengine.hpp -

Least-square Monte Carlo engines.

SYNOPSIS


#include <ql/qldefines.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>
#include <ql/exercise.hpp>
#include <boost/function.hpp>

Classes


class MCAmericanBasketEngine< RNG >
least-square Monte Carlo engine
class MakeMCAmericanBasketEngine< RNG >
Monte Carlo American basket-option engine factory.

Detailed Description

Least-square Monte Carlo engines.

Author

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