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QuantLib_LongstaffSchwartzMultiPathPricer
Langue: en
Version: 377850 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::LongstaffSchwartzMultiPathPricer -Longstaff-Schwarz path pricer for early exercise options.
SYNOPSIS
#include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp>
Inherits PathPricer< MultiPath >.
Public Member Functions
LongstaffSchwartzMultiPathPricer (const boost::shared_ptr< PathPayoff > &, const std::vector< Size > &, 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 boost::shared_ptr< PathPayoff > payoff_
boost::scoped_array< Array > coeff_
boost::scoped_array< Real > lowerBounds_
const std::vector< Size > timePositions_
const Array dF_
std::vector< PathInfo > paths_
const std::vector< boost::function1< Real, Array > > v_
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
Author
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