MCAmericanPathEngine Class Template Reference
[Basket option engines]

least-square Monte Carlo engine More...

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

Inheritance diagram for MCAmericanPathEngine:

List of all members.

Public Member Functions

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

Protected Member Functions

boost::shared_ptr
< LongstaffSchwartzMultiPathPricer
lsmPathPricer () const


Detailed Description

template<class RNG = PseudoRandom>
class QuantLib::MCAmericanPathEngine< RNG >

least-square Monte Carlo engine

Warning:
This method is intrinsically weak for out-of-the-money options.