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 | |