ql/PricingEngines/Basket/mcamericanbasketengine.hpp File Reference


Detailed Description

Least-square Monte Carlo engines.

#include <ql/Instruments/basketoption.hpp>
#include <ql/MonteCarlo/path.hpp>

Include dependency graph for mcamericanbasketengine.hpp:

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Namespaces

namespace  QuantLib

Classes

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

Functions

std::vector< RealgetAssetSequence (Real s0, const Path &path)
std::vector< RealgetAntiAssetSequence (Real s0, const Path &path)

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