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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/Instruments/basketoption.hpp>
#include <ql/MonteCarlo/path.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::MCAmericanBasketEngine
 least-square Monte Carlo engine More...

Functions

std::vector< Real > QuantLib::getAntiAssetSequence (Real s0, const Path &path)
std::vector< Real > QuantLib::getAssetSequence (Real s0, const Path &path)


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