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...