mcpathbasketengine.hpp

Langue: en

Autres versions - même langue

Version: 170809 (fedora - 06/07/09)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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