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/methods/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... |