Longstaff-Schwarz path pricer for early exercise options. More...
#include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp>
 Inheritance diagram for LongstaffSchwartzMultiPathPricer:
 Inheritance diagram for LongstaffSchwartzMultiPathPricer:| Public Member Functions | |
| LongstaffSchwartzMultiPathPricer (const boost::shared_ptr< PathPayoff > &, const std::vector< Size > &, const std::vector< Handle< YieldTermStructure > > &, const Array &, Size, LsmBasisSystem::PolynomType) | |
| Real | operator() (const MultiPath &multiPath) const | 
| virtual void | calibrate () | 
| Protected Member Functions | |
| PathInfo | transformPath (const MultiPath &path) const | 
| Protected Attributes | |
| bool | calibrationPhase_ | 
| const boost::shared_ptr< PathPayoff > | payoff_ | 
| boost::scoped_array< Array > | coeff_ | 
| boost::scoped_array< Real > | lowerBounds_ | 
| const std::vector< Size > | timePositions_ | 
| const std::vector< Handle< YieldTermStructure > > | forwardTermStructures_ | 
| const Array | dF_ | 
| std::vector< PathInfo > | paths_ | 
| const std::vector< boost::function1< Real, Array > > | v_ | 
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