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file | brownianbridge.hpp |
| Browian bridge.
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file | earlyexercisepathpricer.hpp |
| base class for early exercise single-path pricers
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file | exercisestrategy.hpp |
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file | genericlsregression.hpp |
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file | longstaffschwartzpathpricer.hpp |
| Longstaff-Schwarz path pricer for early exercise options.
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file | lsmbasissystem.hpp |
| utility classes for Longstaff-Schwartz early-exercise Monte Carlo
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file | mctraits.hpp |
| Monte Carlo policies.
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file | montecarlomodel.hpp |
| General-purpose Monte Carlo model.
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file | multipath.hpp |
| Correlated multiple asset paths.
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file | multipathgenerator.hpp |
| Generates a multi path from a random-array generator.
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file | nodedata.hpp |
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file | parametricexercise.hpp |
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file | path.hpp |
| single factor random walk
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file | pathgenerator.hpp |
| Generates random paths using a sequence generator.
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file | pathpricer.hpp |
| base class for single-path pricers
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file | sample.hpp |
| weighted sample
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