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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