QuantLib_MCLongstaffSchwartzPathEngine man page

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


#include <ql/experimental/mcbasket/mclongstaffschwartzpathengine.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

Public Member Functions

MCLongstaffSchwartzPathEngine (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 >())

void calculate () const

Protected Member Functions

virtual boost::shared_ptr< LongstaffSchwartzMultiPathPricer > 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 Size seed_

const Size nCalibrationSamples_

boost::shared_ptr< LongstaffSchwartzMultiPathPricer > pathPricer_

Additional Inherited Members

Detailed Description

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

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

MCLongstaffSchwartzPathEngine(3) is an alias of QuantLib_MCLongstaffSchwartzPathEngine(3).

QuantLib Version 1.8.1 Fri Sep 23 2016