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

European basket MC Engine. More...

#include <ql/exercise.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <utility>

Go to the source code of this file.

Classes

class  MCEuropeanBasketEngine< RNG, S >
 Pricing engine for European basket options using Monte Carlo simulation. More...
 
class  MakeMCEuropeanBasketEngine< RNG, S >
 Monte Carlo basket-option engine factory. More...
 
class  EuropeanMultiPathPricer
 

Namespaces

namespace  QuantLib
 

Detailed Description

European basket MC Engine.

Definition in file mceuropeanbasketengine.hpp.