MCAmericanBasketEngine (3) Linux Manual Page
ql/pricingengines/basket/mcamericanbasketengine.hpp – Least-square Monte Carlo engines.
Synopsis
#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 <ql/exercise.hpp>
#include <boost/function.hpp>
Classes
class MCAmericanBasketEngine< RNG >least-square Monte Carlo engine