mcpathbasketengine (3) - Linux Manuals

mcpathbasketengine: Path-dependent European basket MC engine.

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

NAME

ql/experimental/mcbasket/mcpathbasketengine.hpp - Path-dependent European basket MC engine.

SYNOPSIS

#include <ql/experimental/mcbasket/pathmultiassetoption.hpp>
#include <ql/experimental/mcbasket/pathpayoff.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/timegrid.hpp>

Classes

class MCPathBasketEngine< RNG, S >
Pricing engine for path dependent basket options using Monte Carlo simulation.
class MakeMCPathBasketEngine< RNG, S >
Monte Carlo Path Basket engine factory.

Detailed Description

Path-dependent European basket MC engine.

Author

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