QuantLib_LongstaffSchwartzPathPricer man page

LongstaffSchwartzPathPricer< PathType > — Longstaff-Schwarz path pricer for early exercise options.  

Synopsis

#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>

Inherits PathPricer< PathType >.

Public Types

typedef EarlyExerciseTraits< PathType >::StateType StateType

Public Member Functions

LongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure)
Real operator() (const PathType &path) const
virtual void calibrate ()
Real exerciseProbability () const

Protected Member Functions

virtual void post_processing (const Size i, const std::vector< StateType > &state, const std::vector< Real > &price, const std::vector< Real > &exercise)

Protected Attributes

bool calibrationPhase_
const boost::shared_ptr< EarlyExercisePathPricer< PathType > > pathPricer_
QuantLib::IncrementalStatistics exerciseProbability_
boost::scoped_array< Array > coeff_
boost::scoped_array< DiscountFactor > dF_
std::vector< PathType > paths_
const std::vector< boost::function1< Real, StateType > > v_
const Size len_

Detailed Description

template<class PathType>

class QuantLib::LongstaffSchwartzPathPricer< PathType >" 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

The man pages exerciseProbability(3), exerciseProbability_(3), len_(3), LongstaffSchwartzPathPricer(3), pathPricer_(3) and post_processing(3) are aliases of QuantLib_LongstaffSchwartzPathPricer(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib