MCAmericanEngine (3) Linux Manual Page
ql/pricingengines/vanilla/mcamericanengine.hpp – American Monte Carlo engine.
Synopsis
#include <ql/qldefines.hpp>#include <ql/payoff.hpp>
#include <ql/exercise.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>
#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
Classes
class MCAmericanEngine< RNG, S >American Monte Carlo engine.
class MakeMCAmericanEngine< RNG, S >
Monte Carlo American engine factory.