MCAmericanBasketEngine (3) - Linux Manuals

MCAmericanBasketEngine: least-square Monte Carlo engine

NAME

QuantLib::MCAmericanBasketEngine - least-square Monte Carlo engine

SYNOPSIS

#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

Inherits MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, RNG >.

Public Member Functions

MCAmericanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())

Protected Member Functions

boost::shared_ptr< LongstaffSchwartzPathPricer< MultiPath > > lsmPathPricer () const

Detailed Description

template<class RNG = PseudoRandom> class QuantLib::MCAmericanBasketEngine< RNG >

Warning

This method is intrinsically weak for out-of-the-money options.

Author

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