MCAmericanBasketEngine Class Template Reference
[Basket option engines]

#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

Inheritance diagram for MCAmericanBasketEngine:

Inheritance graph
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List of all members.

Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MCAmericanBasketEngine< RNG >

least-square Monte Carlo engine

Warning:
This method is intrinsically weak for out-of-the-money options.


Public Member Functions

 MCAmericanBasketEngine (Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())
 MCAmericanBasketEngine (Size requiredSamples, Size timeSteps, BigNatural seed=0, bool antitheticSampling=false)

Protected Member Functions

boost::shared_ptr< LongstaffSchwartzPathPricer<
MultiPath > > 
lsmPathPricer () const