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mcamericanengine.hpp
Langue: en
Version: 379439 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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