LongstaffSchwartzPathPricer Class Template Reference
[Monte Carlo framework]

#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>

Inheritance diagram for LongstaffSchwartzPathPricer:

Inheritance graph
[legend]
List of all members.

Detailed Description

template<class PathType>
class QuantLib::LongstaffSchwartzPathPricer< PathType >

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


Public Types

typedef EarlyExerciseTraits<
PathType >::StateType 
StateType

Public Member Functions

 LongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure)
Real operator() (const PathType &path) const
virtual void calibrate ()

Protected Attributes

bool calibrationPhase_
const boost::shared_ptr< EarlyExercisePathPricer<
PathType > > 
pathPricer_
boost::scoped_array< Arraycoeff_
boost::scoped_array< DiscountFactor > dF_
std::vector< PathType > paths_
const std::vector< boost::function1<
Real, StateType > > 
v_