CapeTools Basket Engine
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In total there are 7 functions present within the CapeTools Basket Engine category of functions.
General Description
Functions to create several Basket engines for the pricing of Basket options. You can price Basket options via the BasketOption() function using one of the following engines :
- Stulz Engine for pricing 2D European basket options (Only 2 assets)
- Pseudo MonteCarlo Basket Engine (American and European)
- Quasi MonteCarlo Basket Engine (American and European)
Function list.
- APMCBasketEngine - Creates a Pseudo MonteCarlo Basket Engine for pricing american basket options.
- APMCBasketEngine2 - Creates a Pseudo MonteCarlo Basket Engine for pricing american basket options.
- AQMCBasketEngine - Creates a Quasi MonteCarlo Basket Engine for pricing american basket options.
- PMCBasketEngine - Creates a Pseudo MonteCarlo Basket Engine for pricing european basket options.
- PMCBasketEngine2 - Creates a Pseudo MonteCarlo Basket Engine for pricing european basket options.
- QMCBasketEngine - Creates a Quasi MonteCarlo Basket Engine for pricing european basket options.
- StulzEngine - Creates an Stulz Engine for pricing 2D european basket options (Only 2 assets).
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