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Sourcecode: quantlib version File versions

lsmbasissystem.cpp File Reference


Detailed Description

utility classes for longstaff schwartz early exercise Monte Carlo

Definition in file lsmbasissystem.cpp.

#include <ql/MonteCarlo/lsmbasissystem.hpp>
#include <ql/Math/functional.hpp>
#include <ql/Math/gaussianorthogonalpolynomial.hpp>
#include <ql/RandomNumbers/mt19937uniformrng.hpp>
#include <boost/bind.hpp>
#include <boost/lambda/bind.hpp>
#include <boost/lambda/lambda.hpp>
#include <deque>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Functions

Real QuantLib::f_workaround (const Array &a, Size i)


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