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QuantLib_MCLongstaffSchwartzPathEngine
Langue: en
Version: 376577 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::MCLongstaffSchwartzPathEngine -Longstaff-Schwarz Monte Carlo engine for early exercise options.
SYNOPSIS
#include <ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp>
Inherits QuantLib::GenericEngine, and QuantLib::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_
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.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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