QuantLib 0.3.11
Getting started
Reference manual
ql/PricingEngines/Basket/mcbasketengine.hpp File Reference
Detailed Description
European basket MC Engine.
#include <ql/Instruments/basketoption.hpp>
#include <ql/PricingEngines/mcsimulation.hpp>
#include <ql/Processes/blackscholesprocess.hpp>
Include dependency graph for mcbasketengine.hpp:
Namespaces | |
| namespace | QuantLib |
Classes | |
| class | MCBasketEngine |
| Pricing engine for basket options using Monte Carlo simulation. More... | |
