MCAmericanBasketEngine Class Template Reference
[Basket option engines]
#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>
Inheritance diagram for MCAmericanBasketEngine:

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 |