- QuantLib
- MCAmericanPathEngine
 
least-square Monte Carlo engine More...
#include <ql/experimental/mcbasket/mcamericanpathengine.hpp>

| Public Member Functions | |
| MCAmericanPathEngine (const boost::shared_ptr< StochasticProcessArray > &, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) | |
| Protected Member Functions | |
| boost::shared_ptr < LongstaffSchwartzMultiPathPricer > | lsmPathPricer () const | 
least-square Monte Carlo engine