MCAmericanBasketEngine Class Reference
[Basket option engines]

#include <ql/PricingEngines/Basket/mcamericanbasketengine.hpp>

Inheritance diagram for MCAmericanBasketEngine:

Inheritance graph
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List of all members.

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