QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Monte Carlo engine for vanilla american options. More...
#include <ql/errors.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/pricingengines/vanilla/mcamericanengine.hpp>
#include <utility>
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Namespaces | |
namespace | QuantLib |
Monte Carlo engine for vanilla american options.
Definition in file mcamericanengine.cpp.