- QuantLib
- MCAmericanBasketEngine
 
least-square Monte Carlo engine More...
#include <ql/pricingengines/basket/mcamericanbasketengine.hpp>

| Public Member Functions | |
| MCAmericanBasketEngine (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 < LongstaffSchwartzPathPricer < MultiPath > > | lsmPathPricer () const | 
least-square Monte Carlo engine