basketengines man page

basketengines — Basket option engines

Classes

class MCAmericanPathEngine< RNG >
least-square Monte Carlo engine
class Fd2dBlackScholesVanillaEngine
Two dimensional finite-differences Black Scholes vanilla option engine.
class KirkEngine
Pricing engine for spread option on two futures.
class MCAmericanBasketEngine< RNG >
least-square Monte Carlo engine
class MCEuropeanBasketEngine< RNG, S >
Pricing engine for European basket options using Monte Carlo simulation.
class StulzEngine
Pricing engine for 2D European Baskets.

Author

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Info

Fri Sep 23 2016 Version 1.8.1 QuantLib