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 > &payoff, const std::vector< Size > &timePositions, std::vector< Handle< YieldTermStructure > > forwardTermStructure, Array discounts, Size polynomialOrder, LsmBasisSystem::PolynomialType polynomialType)
Real	operator() (const MultiPath &multiPath) const override
virtual void	calibrate ()

Protected Member Functions
PathInfo	transformPath (const MultiPath &path) const

Protected Attributes
bool	calibrationPhase_ = true
const ext::shared_ptr< PathPayoff >	payoff_
std::unique_ptr< Array[]>	coeff_
std::unique_ptr< Real[]>	lowerBounds_
const std::vector< Size >	timePositions_
const std::vector< Handle< YieldTermStructure > >	forwardTermStructures_
const Array	dF_
std::vector< PathInfo >	paths_
const std::vector< std::function< Real(Array)> >	v_

Additional Inherited Members
Public Types inherited from PathPricer< MultiPath >
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

Member Function Documentation

operator()()

Real operator() ( const MultiPath & multiPath ) const

overridevirtual

Implements PathPricer< MultiPath >.