mcmultilegoptionengine.hpp File Reference

MC engine for multi leg option instrument. More...

#include <qle/pricingengines/mcmultilegbaseengine.hpp>
#include <qle/instruments/multilegoption.hpp>
#include <qle/methods/multipathgeneratorbase.hpp>
#include <qle/models/crossassetmodel.hpp>
#include <ql/methods/montecarlo/lsmbasissystem.hpp>

Classes
class	McMultiLegOptionEngine

Detailed Description

MC engine for multi leg option instrument.