MCLongstaffSchwartzPathEngine Class Template Reference
Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
#include <ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp>
Inheritance diagram for MCLongstaffSchwartzPathEngine:

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