Longstaff-Schwarz path pricer for early exercise options. More...
#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>
 Inheritance diagram for LongstaffSchwartzPathPricer< PathType >:
 Inheritance diagram for LongstaffSchwartzPathPricer< PathType >:| 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 () | 
| Real | exerciseProbability () const | 
| Protected Member Functions | |
| virtual void | post_processing (const Size i, const std::vector< StateType > &state, const std::vector< Real > &price, const std::vector< Real > &exercise) | 
| Protected Attributes | |
| bool | calibrationPhase_ | 
| const boost::shared_ptr< EarlyExercisePathPricer< PathType > > | pathPricer_ | 
| QuantLib::IncrementalStatistics | exerciseProbability_ | 
| boost::scoped_array< Array > | coeff_ | 
| boost::scoped_array< DiscountFactor > | dF_ | 
| std::vector< PathType > | paths_ | 
| const std::vector< boost::function1< Real, StateType > > | v_ | 
| const Size | len_ | 
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