MCAmericanBasketEngine (3) Linux Manual Page
NAME
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
Detailed Description
Least-square Monte Carlo engines.
Author
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