mcamericanengine (3) - Linux Man Pages

mcamericanengine: American Monte Carlo engine.

NAME

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.

Detailed Description

American Monte Carlo engine.

Author

Generated automatically by Doxygen for QuantLib from the source code.