MCAmericanBasketEngine Class Reference
[Basket option engines]
#include <ql/PricingEngines/Basket/mcamericanbasketengine.hpp>
Inheritance diagram for MCAmericanBasketEngine:

Detailed Description
least-square Monte Carlo engine
- Bug:
- This method is intrinsically weak for out-of-the-money options.
- Bug:
- this engine does not yet work for put options. More problems might surface.
Public Member Functions | |
MCAmericanBasketEngine (Size requiredSamples, Size timeSteps, BigNatural seed=0, bool antitheticSampling=false) | |
void | calculate () const |