QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Files | |
file | brownianbridge.cpp [code] |
file | brownianbridge.hpp [code] |
Browian bridge. | |
file | earlyexercisepathpricer.hpp [code] |
base class for early exercise single-path pricers | |
file | exercisestrategy.hpp [code] |
file | genericlsregression.cpp [code] |
file | genericlsregression.hpp [code] |
file | longstaffschwartzpathpricer.hpp [code] |
Longstaff-Schwarz path pricer for early exercise options. | |
file | lsmbasissystem.cpp [code] |
utility classes for longstaff schwartz early exercise Monte Carlo | |
file | lsmbasissystem.hpp [code] |
utility classes for Longstaff-Schwartz early-exercise Monte Carlo | |
file | mctraits.hpp [code] |
Monte Carlo policies. | |
file | montecarlomodel.hpp [code] |
General-purpose Monte Carlo model. | |
file | multipath.hpp [code] |
Correlated multiple asset paths. | |
file | multipathgenerator.hpp [code] |
Generates a multi path from a random-array generator. | |
file | nodedata.hpp [code] |
file | parametricexercise.cpp [code] |
file | parametricexercise.hpp [code] |
file | path.hpp [code] |
single factor random walk | |
file | pathgenerator.hpp [code] |
Generates random paths using a sequence generator. | |
file | pathpricer.hpp [code] |
base class for single-path pricers | |
file | sample.hpp [code] |
weighted sample | |