McMaxBasket Class Reference

#include <mcmaxbasket.hpp>

Inheritance diagram for McMaxBasket:

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Detailed Description

simple example of multi-factor Monte Carlo pricer


Public Member Functions

 McMaxBasket (const std::vector< double > &underlying, const Array &dividendYield, const Math::Matrix &covariance, Rate riskFreeRate, double residualTime, bool antitheticVariance, long seed=0)


The documentation for this class was generated from the following files:

QuantLib.org
QuantLib
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