QuantLib_LongstaffSchwartzMultiPathPricer man page

LongstaffSchwartzMultiPathPricer — Longstaff-Schwarz path pricer for early exercise options.

Synopsis

#include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp>

Inherits PathPricer< MultiPath >.

Public Member Functions

LongstaffSchwartzMultiPathPricer (const boost::shared_ptr< PathPayoff > &, const std::vector< Size > &, const std::vector< Handle< YieldTermStructure > > &, const Array &, Size, LsmBasisSystem::PolynomType)

Real operator() (const MultiPath &multiPath) const

virtual void calibrate ()

Protected Member Functions

PathInfo transformPath (const MultiPath &path) const

Protected Attributes

bool calibrationPhase_

const boost::shared_ptr< PathPayoff > payoff_

boost::scoped_array< Array > coeff_

boost::scoped_array< Real > lowerBounds_

const std::vector< Size > timePositions_

const std::vector< Handle< YieldTermStructure > > forwardTermStructures_

const Array dF_

std::vector< PathInfo > paths_

const std::vector< boost::function1< Real, Array > > v_

Detailed Description

Longstaff-Schwarz path pricer for early exercise options.

References:

Francis Longstaff, Eduardo Schwartz, 2001. Valuing American Options by Simulation: A Simple Least-Squares Approach, The Review of Financial Studies, Volume 14, No. 1, 113-147

Tests

the correctness of the returned value is tested by reproducing results available in web/literature

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

calibrationPhase_(3), coeff_(3), dF_(3), forwardTermStructures_(3), LongstaffSchwartzMultiPathPricer(3), lowerBounds_(3), paths_(3), timePositions_(3), transformPath(3) and v_(3) are aliases of QuantLib_LongstaffSchwartzMultiPathPricer(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib