QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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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 |
European basket MC Engine.
Definition in file mceuropeanbasketengine.hpp.