QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
montecarlo Directory Reference

Files

file  brownianbridge.hpp
 Browian bridge.
 
file  earlyexercisepathpricer.hpp
 base class for early exercise single-path pricers
 
file  exercisestrategy.hpp
 
file  genericlsregression.hpp
 
file  longstaffschwartzpathpricer.hpp
 Longstaff-Schwarz path pricer for early exercise options.
 
file  lsmbasissystem.hpp
 utility classes for Longstaff-Schwartz early-exercise Monte Carlo
 
file  mctraits.hpp
 Monte Carlo policies.
 
file  montecarlomodel.hpp
 General-purpose Monte Carlo model.
 
file  multipath.hpp
 Correlated multiple asset paths.
 
file  multipathgenerator.hpp
 Generates a multi path from a random-array generator.
 
file  nodedata.hpp
 
file  parametricexercise.hpp
 
file  path.hpp
 single factor random walk
 
file  pathgenerator.hpp
 Generates random paths using a sequence generator.
 
file  pathpricer.hpp
 base class for single-path pricers
 
file  sample.hpp
 weighted sample