Longstaff-Schwarz path pricer for early exercise options. More...
#include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp>
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