QuantLib_MCAmericanBasketEngine man page

MCAmericanBasketEngine< RNG > — least-square Monte Carlo engine


#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

Inherits MCLongstaffSchwartzEngine< BasketOption::engine, MultiVariate, 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

Additional Inherited Members

Detailed Description

template<class RNG = PseudoRandom>

class QuantLib::MCAmericanBasketEngine< RNG >" least-square Monte Carlo engine


This method is intrinsically weak for out-of-the-money options.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

lsmPathPricer(3) and MCAmericanBasketEngine(3) are aliases of QuantLib_MCAmericanBasketEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016