McMaxBasket Class Reference

#include <ql/legacy/pricers/mcmaxbasket.hpp>

Inheritance diagram for McMaxBasket:

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List of all members.

Detailed Description

Max-basket Monte Carlo pricer.


Public Member Functions

 McMaxBasket (const std::vector< Real > &underlyings, const std::vector< Handle< YieldTermStructure > > &dividendYields, const Handle< YieldTermStructure > &riskFreeRate, const std::vector< Handle< BlackVolTermStructure > > &volatilities, const Matrix &correlation, Time residualTime, BigNatural seed=0)