AmericanMCVanillaEngine Class Reference

#include <americanmcengines.hpp>

Inheritance diagram for AmericanMCVanillaEngine:

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Detailed Description

least-square Monte Carlo engine

Unstable:
This engine is known not to work for deeply out-of-the-money options. More problems might surface.


Public Member Functions

 AmericanMCVanillaEngine (Size requiredSamples, Size timeSteps, long seed=0)
void calculate () const


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

QuantLib.org
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