mclongstaffschwartzengine.hpp

Langue: en

Autres versions - même langue

Version: 383367 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/mclongstaffschwartzengine.hpp -

Longstaff Schwartz Monte Carlo engine for early exercise options.

SYNOPSIS


#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>

Classes


class MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >
Longstaff-Schwarz Monte Carlo engine for early exercise options.

Detailed Description

Longstaff Schwartz Monte Carlo engine for early exercise options.

Author

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