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| file | brownianbridge.hpp |
| | Browian bridge.
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| |
| file | earlyexercisepathpricer.hpp |
| | base class for early exercise single-path pricers
|
| |
| 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 | 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
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| |
| file | sample.hpp |
| | weighted sample
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| |