mcamericanengine.hpp

Langue: en

Autres versions - même langue

Version: 379439 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/vanilla/mcamericanengine.hpp -

American Monte Carlo engine.

SYNOPSIS


#include <ql/qldefines.hpp>
#include <ql/payoff.hpp>
#include <ql/exercise.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>
#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>

Classes


class MCAmericanEngine< RNG, S >
American Monte Carlo engine.
class MakeMCAmericanEngine< RNG, S >
Monte Carlo American engine factory.

Detailed Description

American Monte Carlo engine.

Author

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