ql/Pricers/mcmaxbasket.hpp File Reference
Detailed Description
Max Basket Monte Carlo pricer.
#include <ql/Pricers/mcpricer.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>
Include dependency graph for mcmaxbasket.hpp:

Namespaces | |
namespace | QuantLib |
Classes | |
class | McMaxBasket |
simple example of multi-factor Monte Carlo pricer More... |