mceuropeanbasketengine.hpp

Langue: en

Version: 375686 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/basket/mceuropeanbasketengine.hpp -

European basket MC Engine.

SYNOPSIS


#include <ql/instruments/basketoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>

Classes


class MCEuropeanBasketEngine< RNG, S >
Pricing engine for European basket options using Monte Carlo simulation.
class MakeMCEuropeanBasketEngine< RNG, S >
Monte Carlo basket-option engine factory.

Detailed Description

European basket MC Engine.

Author

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