QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
LongstaffSchwartzMultiPathPricer Class Reference

Longstaff-Schwarz path pricer for early exercise options. More...

#include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp>

+ Inheritance diagram for LongstaffSchwartzMultiPathPricer:

Public Member Functions

 LongstaffSchwartzMultiPathPricer (const ext::shared_ptr< PathPayoff > &, const std::vector< Size > &, const std::vector< Handle< YieldTermStructure > > &, const Array &, Size, LsmBasisSystem::PolynomType)
 
Real operator() (const MultiPath &multiPath) const
 
virtual void calibrate ()
 

Protected Member Functions

PathInfo transformPath (const MultiPath &path) const
 

Protected Attributes

bool calibrationPhase_
 
const ext::shared_ptr< PathPayoffpayoff_
 
boost::scoped_array< Arraycoeff_
 
boost::scoped_array< ReallowerBounds_
 
const std::vector< SizetimePositions_
 
const std::vector< Handle< YieldTermStructure > > forwardTermStructures_
 
const Array dF_
 
std::vector< PathInfo > paths_
 
const std::vector< ext::function< Real(Array)> > v_
 

Additional Inherited Members

- Public Types inherited from PathPricer< MultiPath >
typedef MultiPath argument_type
 
typedef Real result_type
 

Detailed Description

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