McMaxBasket Class Reference
#include <ql/Pricers/mcmaxbasket.hpp>
Inheritance diagram for McMaxBasket:

Detailed Description
simple example of multi-factor Monte Carlo pricer
Public Member Functions | |
McMaxBasket (const std::vector< Real > &underlyings, const std::vector< Handle< YieldTermStructure > > ÷ndYields, const Handle< YieldTermStructure > &riskFreeRate, const std::vector< Handle< BlackVolTermStructure > > &volatilities, const Matrix &correlation, Time residualTime, BigNatural seed=0) |