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.