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Sourcecode: quantlib version File versions

mcamericanbasketengine.hpp File Reference


Detailed Description

Least-square Monte Carlo engines.

Definition in file mcamericanbasketengine.hpp.

#include <ql/qldefines.hpp>
#include <ql/Instruments/basketoption.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
#include <ql/Processes/stochasticprocessarray.hpp>
#include <ql/MonteCarlo/lsmbasissystem.hpp>
#include <ql/PricingEngines/mclongstaffschwartzengine.hpp>
#include <boost/function.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::AmericanBasketPathPricer
class  QuantLib::MCAmericanBasketEngine< RNG >
 least-square Monte Carlo engine More...


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