longstaffschwartzpathpricer.hpp

Langue: en

Autres versions - même langue

Version: 380792 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

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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