QuantLib_LongstaffSchwartzPathPricer (3) - Linux Manuals

QuantLib_LongstaffSchwartzPathPricer: Longstaff-Schwarz path pricer for early exercise options.

NAME

QuantLib::LongstaffSchwartzPathPricer - 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 ()

Protected Attributes

bool calibrationPhase_

const boost::shared_ptr< EarlyExercisePathPricer< PathType > > pathPricer_

boost::scoped_array< Array > coeff_

boost::scoped_array< DiscountFactor > dF_

std::vector< PathType > paths_

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

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

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