QuantLib_MCLongstaffSchwartzEngine man page

MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > — Longstaff-Schwarz Monte Carlo engine for early exercise options.

Synopsis

#include <ql/pricingengines/mclongstaffschwartzengine.hpp>

Inherits GenericEngine< ArgumentsType, ResultsType >, and McSimulation< MC, RNG, S >.

Public Types

typedef MC< RNG >::path_type path_type

typedef McSimulation< MC, RNG, S >::stats_type stats_type

typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type

typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type

typedef McSimulation< MC, RNG_Calibration, S >::path_generator_type path_generator_type_calibration

Public Member Functions

MCLongstaffSchwartzEngine (const boost::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, BigNatural seedCalibration=Null< Size >())

void calculate () const

Protected Member Functions

virtual boost::shared_ptr< LongstaffSchwartzPathPricer< path_type > > lsmPathPricer () const =0

TimeGrid timeGrid () const

boost::shared_ptr< path_pricer_type > pathPricer () const

boost::shared_ptr< path_generator_type > pathGenerator () const

Protected Attributes

boost::shared_ptr< StochasticProcess > process_

const Size timeSteps_

const Size timeStepsPerYear_

const bool brownianBridge_

const Size requiredSamples_

const Real requiredTolerance_

const Size maxSamples_

const BigNatural seed_

const Size nCalibrationSamples_

const bool brownianBridgeCalibration_

const bool antitheticVariateCalibration_

const BigNatural seedCalibration_

boost::shared_ptr< LongstaffSchwartzPathPricer< path_type > > pathPricer_

boost::shared_ptr< MonteCarloModel< MC, RNG_Calibration, S > > mcModelCalibration_

Additional Inherited Members

Detailed Description

template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics, class RNG_Calibration = RNG>

class QuantLib::MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >" Longstaff-Schwarz Monte Carlo engine 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

Constructor & Destructor Documentation

MCLongstaffSchwartzEngine (const boost::shared_ptr< StochasticProcess > & process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples = Null<Size>(), boost::optional< bool > brownianBridgeCalibration = boost::none, boost::optional< bool > antitheticVariateCalibration = boost::none, BigNatural seedCalibration = Null<Size>())

If the parameters brownianBridge and antitheticVariate are not given they are chosen to be identical to the respective parameters for pricing; the seed for calibration is chosen to be zero if the pricing seed is zero and otherwise as the pricing seed plus some offset to avoid identical paths in calibration and pricing; note however that this has no effect for low discrepancy RNGs usually, it is therefore recommended to use pseudo random generators for the calibration phase always (and possibly quasi monte carlo in the subsequent pricing).

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

antitheticVariateCalibration_(3), brownianBridgeCalibration_(3), MCLongstaffSchwartzEngine(3), mcModelCalibration_(3), nCalibrationSamples_(3), path_generator_type_calibration(3), path_type(3) and seedCalibration_(3) are aliases of QuantLib_MCLongstaffSchwartzEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib