mcamericanbasketengine (3) - Linux Manuals

mcamericanbasketengine: Least-square Monte Carlo engines.

Command to display mcamericanbasketengine manual in Linux: $ man 3 mcamericanbasketengine

NAME

ql/pricingengines/basket/mcamericanbasketengine.hpp - Least-square Monte Carlo engines.

SYNOPSIS

#include <ql/qldefines.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>
#include <ql/exercise.hpp>
#include <boost/function.hpp>

Classes

class MCAmericanBasketEngine< RNG >
least-square Monte Carlo engine

Detailed Description

Least-square Monte Carlo engines.

Author

Generated automatically by Doxygen for QuantLib from the source code.