MCPathBasketEngine (3) Linux Manual Page
ql/experimental/mcbasket/mcpathbasketengine.hpp – Path-dependent European basket MC engine.
Synopsis
#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>#include <ql/experimental/mcbasket/pathpayoff.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/timegrid.hpp>
Classes
class MCPathBasketEngine< RNG, S >Pricing engine for path dependent basket options using Monte Carlo simulation.
class MakeMCPathBasketEngine< RNG, S >
Monte Carlo Path Basket engine factory.