ql/pricingengines/basket/mcbasketengine.hpp File Reference


Detailed Description

European basket MC Engine.

#include <ql/instruments/basketoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>

Include dependency graph for mcbasketengine.hpp:


Namespaces

namespace  QuantLib

Classes

class  MCBasketEngine
 Pricing engine for basket options using Monte Carlo simulation. More...