ql/pricingengines/basket/mceuropeanbasketengine.hpp File Reference
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>
Include dependency graph for mceuropeanbasketengine.hpp:

Classes | |
| class | MCEuropeanBasketEngine |
| Pricing engine for European basket options using Monte Carlo simulation. More... | |
| class | MakeMCEuropeanBasketEngine |
| Monte Carlo basket-option engine factory. More... | |
Detailed Description
European basket MC Engine.