LongstaffSchwartzPathPricer Class Template Reference
[Monte Carlo framework]
#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>
Inheritance diagram for LongstaffSchwartzPathPricer:

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 ×, 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< Array > | coeff_ |
boost::scoped_array< DiscountFactor > | dF_ |
std::vector< PathType > | paths_ |
const std::vector< boost::function1< Real, StateType > > | v_ |