singlefactorbsmbasketengine.hpp File Reference

Basket engine where all underlyings are driven by one stochastic factor. More...

#include <ql/pricingengine.hpp>
#include <ql/instruments/basketoption.hpp>
#include <ql/processes/blackscholesprocess.hpp>

Go to the source code of this file.

Classes
class	SingleFactorBsmBasketEngine
	Pricing engine for baskets where all underlyings are driven by one stochastic factor. More...
class	SumExponentialsRootSolver

Namespaces
namespace	QuantLib
namespace	QuantLib::detail

Detailed Description

Basket engine where all underlyings are driven by one stochastic factor.

Definition in file singlefactorbsmbasketengine.hpp.