ql/PricingEngines/Basket/mcbasketengine.hpp File Reference


Detailed Description

European basket MC Engine.

#include <ql/Instruments/basketoption.hpp>
#include <ql/PricingEngines/mcsimulation.hpp>
#include <ql/Processes/blackscholesprocess.hpp>

Include dependency graph for mcbasketengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  MCBasketEngine
 Pricing engine for basket options using Monte Carlo simulation. More...

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