MCAmericanBasketEngine< RNG > Class Template Reference
least-square Monte Carlo engine More...
#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>
Inheritance diagram for MCAmericanBasketEngine< RNG >:

Public Member Functions | |
MCAmericanBasketEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) | |
Protected Member Functions | |
boost::shared_ptr < LongstaffSchwartzPathPricer < MultiPath > > | lsmPathPricer () const |
Detailed Description
template<class RNG = PseudoRandom>
class QuantLib::MCAmericanBasketEngine< RNG >
least-square Monte Carlo engine
- Warning:
- This method is intrinsically weak for out-of-the-money options.