mcbasketengine (3) - Linux Manuals

mcbasketengine: European basket MC Engine.

NAME

ql/pricingengines/basket/mcbasketengine.hpp - European basket MC Engine.

SYNOPSIS

#include <ql/instruments/basketoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>

Classes

class MCBasketEngine< RNG, S >
Pricing engine for basket options using Monte Carlo simulation.

Detailed Description

European basket MC Engine.

Author

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