ql/PricingEngines/Basket/mcamericanbasketengine.hpp File Reference


Detailed Description

Least-square Monte Carlo engines.

#include <ql/qldefines.hpp>
#include <ql/Instruments/basketoption.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
#include <ql/Processes/stochasticprocessarray.hpp>
#include <ql/MonteCarlo/lsmbasissystem.hpp>
#include <ql/PricingEngines/mclongstaffschwartzengine.hpp>
#include <boost/function.hpp>

Include dependency graph for mcamericanbasketengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  MCAmericanBasketEngine
 least-square Monte Carlo engine More...