mcmultilegbaseengine.hpp File Reference

base MC engine for multileg (option) instruments More...

#include <qle/indexes/fxindex.hpp>
#include <qle/instruments/multilegoption.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <qle/models/lgmvectorised.hpp>
#include <qle/pricingengines/amccalculator.hpp>
#include <ql/indexes/interestrateindex.hpp>
#include <ql/instruments/swaption.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>
#include <boost/serialization/serialization.hpp>
#include <boost/serialization/base_object.hpp>
#include <boost/serialization/vector.hpp>
#include <boost/serialization/set.hpp>
#include <boost/serialization/utility.hpp>
#include <boost/serialization/array.hpp>
#include <boost/serialization/export.hpp>

Classes
struct	McEngineStats
class	McMultiLegBaseEngine
struct	McMultiLegBaseEngine::CashflowInfo
class	McMultiLegBaseEngine::RegressionModel
class	McMultiLegBaseEngine::MultiLegBaseAmcCalculator

Detailed Description

base MC engine for multileg (option) instruments