QuantLib_MCAmericanPathEngine man page

MCAmericanPathEngine< RNG > — least-square Monte Carlo engine


#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>

Inherits MCLongstaffSchwartzPathEngine< PathMultiAssetOption::engine, MultiVariate, RNG >.

Public Member Functions

MCAmericanPathEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())

Protected Member Functions

boost::shared_ptr< LongstaffSchwartzMultiPathPricer > lsmPathPricer () const

Additional Inherited Members

Detailed Description

template<class RNG = PseudoRandom>

class QuantLib::MCAmericanPathEngine< 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

MCAmericanPathEngine(3) is an alias of QuantLib_MCAmericanPathEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016