ql/Pricers/mcmaxbasket.hpp File Reference


Detailed Description

Max Basket Monte Carlo pricer.

#include <ql/Pricers/mcpricer.hpp>
#include <ql/yieldtermstructure.hpp>
#include <ql/voltermstructure.hpp>

Include dependency graph for mcmaxbasket.hpp:


Namespaces

namespace  QuantLib

Classes

class  McMaxBasket
 simple example of multi-factor Monte Carlo pricer More...