QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Classes | Namespaces
mcamericanengine.hpp File Reference

American Monte Carlo engine. More...

#include <ql/qldefines.hpp>
#include <ql/payoff.hpp>
#include <ql/exercise.hpp>
#include <ql/optional.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>
#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>
#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>

Go to the source code of this file.

Classes

class  MCAmericanEngine< RNG, S, RNG_Calibration >
 American Monte Carlo engine. More...
 
class  AmericanPathPricer
 
class  MakeMCAmericanEngine< RNG, S, RNG_Calibration >
 Monte Carlo American engine factory. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

American Monte Carlo engine.

Definition in file mcamericanengine.hpp.