QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Least-square Monte Carlo engines. More...
#include <ql/exercise.hpp>
#include <ql/functional.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/qldefines.hpp>
#include <utility>
Go to the source code of this file.
Classes | |
class | MCAmericanBasketEngine< RNG > |
least-square Monte Carlo engine More... | |
class | MakeMCAmericanBasketEngine< RNG > |
Monte Carlo American basket-option engine factory. More... | |
class | AmericanBasketPathPricer |
Namespaces | |
namespace | QuantLib |
Least-square Monte Carlo engines.
Definition in file mcamericanbasketengine.hpp.