McMaxBasket Class Reference

#include <ql/Pricers/mcmaxbasket.hpp>

Inheritance diagram for McMaxBasket:

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Detailed Description

simple example of multi-factor Monte Carlo pricer


Public Member Functions

 McMaxBasket (const std::vector< double > &underlying, const Array &dividendYield, const Matrix &covariance, Rate riskFreeRate, double residualTime, bool antitheticVariance, long seed=0)


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