Path-dependent European basket MC engine. More...
#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/termstructures/yield/impliedtermstructure.hpp>#include <ql/timegrid.hpp>
Classes | |
| class | MCPathBasketEngine< RNG, S > |
| Pricing engine for path dependent basket options using. More... | |
| class | MakeMCPathBasketEngine< RNG, S > |
| Monte Carlo Path Basket engine factory. More... | |
Path-dependent European basket MC engine.