QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Path-dependent European basket MC engine. More...
#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/termstructures/yield/impliedtermstructure.hpp>
#include <ql/timegrid.hpp>
#include <utility>
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Classes | |
class | MCPathBasketEngine< RNG, S > |
Pricing engine for path dependent basket options using. More... | |
class | EuropeanPathMultiPathPricer |
class | MakeMCPathBasketEngine< RNG, S > |
Monte Carlo Path Basket engine factory. More... | |
Namespaces | |
namespace | QuantLib |
Path-dependent European basket MC engine.
Definition in file mcpathbasketengine.hpp.