European basket MC Engine. More...
#include <ql/instruments/basketoption.hpp>
#include <ql/pricingengines/mcsimulation.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <ql/processes/stochasticprocessarray.hpp>
#include <ql/exercise.hpp>
Classes | |
class | MCEuropeanBasketEngine< RNG, S > |
Pricing engine for European basket options using Monte Carlo simulation. More... | |
class | MakeMCEuropeanBasketEngine< RNG, S > |
Monte Carlo basket-option engine factory. More... | |
Namespaces | |
QuantLib | |
European basket MC Engine.