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

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
 

Detailed Description

Least-square Monte Carlo engines.

Definition in file mcamericanbasketengine.hpp.