QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
American Monte Carlo engine.
Definition in file mcamericanengine.hpp.