Least-square Monte Carlo engines. More...
#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 More... | |
class | MakeMCAmericanBasketEngine< RNG > |
Monte Carlo American basket-option engine factory. More... |
Least-square Monte Carlo engines.