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mcmaxbasket.hpp File Reference


Detailed Description

Max Basket Monte Carlo pricer.

Definition in file mcmaxbasket.hpp.

#include <ql/Pricers/mcpricer.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::McMaxBasket
 simple example of multi-factor Monte Carlo pricer More...


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