Using MCLongstaffSchwartzEngine, MCSimulation brownianBridge

[Matt Slezak]

Are these implemented in QuantLibXL?

MCLongstaffSchwartzEngine

MCSimulation (want to use brownianBridge)

I found QuantLib code but cannot find any examples in
QuantLibXL help files for how to use these to price
American basket options.  Any examples or
documentation would be helpful!  Thanks!

Matt Slezak


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[Eric Ehlers-2]

Hi Matt,

> Are these implemented in QuantLibXL?
>
> MCLongstaffSchwartzEngine
>
> MCSimulation (want to use brownianBridge)

Sorry, those functions are not in QuantLibXL and unfortunately I'm not
aware of any plans to implement them.

Regards,
Eric


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