QuantLib_LongstaffSchwartzPathPricer man page

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


#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.


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


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


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

QuantLib Version 1.8.1 Fri Sep 23 2016