American Monte Carlo engine. More...
#include <ql/qldefines.hpp>#include <ql/payoff.hpp>#include <ql/exercise.hpp>#include <ql/methods/montecarlo/lsmbasissystem.hpp>#include <ql/processes/blackscholesprocess.hpp>#include <ql/pricingengines/mclongstaffschwartzengine.hpp>#include <ql/pricingengines/vanilla/mceuropeanengine.hpp>#include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
Classes | |
| class | MCAmericanEngine< RNG, S > |
| American Monte Carlo engine. More... | |
| class | MakeMCAmericanEngine< RNG, S > |
| Monte Carlo American engine factory. More... | |
American Monte Carlo engine.