longstaffschwartzpathpricer (3) - Linux Manuals

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

Command to display longstaffschwartzpathpricer manual in Linux: $ man 3 longstaffschwartzpathpricer

NAME

ql/methods/montecarlo/longstaffschwartzpathpricer.hpp - Longstaff-Schwarz path pricer for early exercise options.

SYNOPSIS

#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/math/functional.hpp>
#include <ql/math/linearleastsquaresregression.hpp>
#include <ql/methods/montecarlo/pathpricer.hpp>
#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>
#include <boost/bind.hpp>
#include <boost/function.hpp>

Classes

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

Detailed Description

Longstaff-Schwarz path pricer for early exercise options.

Author

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