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<b>QuantLib</b>::<a class="el" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html">MCLongstaffSchwartzEngine</a></div>
<h1>MCLongstaffSchwartzEngine Class Template Reference</h1><!-- doxytag: class="QuantLib::MCLongstaffSchwartzEngine" --><!-- doxytag: inherits="QuantLib::GenericEngine,QuantLib::McSimulation" --><code>#include <ql/PricingEngines/mclongstaffschwartzengine.hpp></code>
<p>
Inheritance diagram for MCLongstaffSchwartzEngine:<p><center><img src="class_quant_lib_1_1_m_c_longstaff_schwartz_engine__inherit__graph.png" border="0" usemap="#_m_c_longstaff_schwartz_engine__inherit__map" alt="Inheritance graph"></center>
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<area href="class_quant_lib_1_1_m_c_american_engine.html" shape="rect" coords="507,54,1152,78" alt="">
<area href="class_quant_lib_1_1_generic_engine.html" shape="rect" coords="36,6,156,30" alt="">
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<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center><a href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class GenericEngine, class MC, class S = Statistics><br>
class QuantLib::MCLongstaffSchwartzEngine< GenericEngine, MC, S ></h3>
Longstaff Schwarz Monte Carlo engine for early exercise options.
<p>
References:<p>
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<p>
<dl compact><dt><b><a class="el" href="test.html#_test000077">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
<p>
<table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Types</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2a989e9e3925edecef71802a24648d08"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::path_type" ref="2a989e9e3925edecef71802a24648d08" args="" -->
typedef MC::path_type </td><td class="memItemRight" valign="bottom"><b>path_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7ee8d8b18998fef69db3df31b23a698f"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::stats_type" ref="7ee8d8b18998fef69db3df31b23a698f" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC,<br>
S >::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="13d4683df45c602a0b8e3733a4d2ea1f"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::path_pricer_type" ref="13d4683df45c602a0b8e3733a4d2ea1f" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC,<br>
S >::path_pricer_type </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="be220a8f1699b7aefd80d17b2043b663"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::path_generator_type" ref="be220a8f1699b7aefd80d17b2043b663" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC,<br>
S >::path_generator_type </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="eb73c0cc56d581a8fc4f8e65b2605871"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::MCLongstaffSchwartzEngine" ref="eb73c0cc56d581a8fc4f8e65b2605871" args="(Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())" -->
</td><td class="memItemRight" valign="bottom"><b>MCLongstaffSchwartzEngine</b> (Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< Size >())</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="082ff96da379d5e17436372ccb3c0972"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::calculate" ref="082ff96da379d5e17436372ccb3c0972" args="() const" -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="cabba2ecfb74ec48f1031cbca990da84"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::lsmPathPricer" ref="cabba2ecfb74ec48f1031cbca990da84" args="() const=0" -->
virtual boost::shared_ptr<<br>
<a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a><<br>
path_type > > </td><td class="memItemRight" valign="bottom"><b>lsmPathPricer</b> () const=0</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9820e026a481e4c1cb95b4d89345101c"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::timeGrid" ref="9820e026a481e4c1cb95b4d89345101c" args="() const" -->
<a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="6181051acf3817e499b5217ae2d64f9a"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::pathPricer" ref="6181051acf3817e499b5217ae2d64f9a" args="() const" -->
boost::shared_ptr< path_pricer_type > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4c7668fb902df6190e1782a7d9affa85"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::pathGenerator" ref="4c7668fb902df6190e1782a7d9affa85" args="() const" -->
boost::shared_ptr< path_generator_type > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const</td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="1a8040241758f53937896005a5764344"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::timeSteps_" ref="1a8040241758f53937896005a5764344" args="" -->
const Size </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d58dc5329a35fa64347940b5f1221fab"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::timeStepsPerYear_" ref="d58dc5329a35fa64347940b5f1221fab" args="" -->
const Size </td><td class="memItemRight" valign="bottom"><b>timeStepsPerYear_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="51081fa144e357770bd49b179b58935c"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::brownianBridge_" ref="51081fa144e357770bd49b179b58935c" args="" -->
const bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="7a4398e3334d904c7a7e02133d6cf0e6"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::requiredSamples_" ref="7a4398e3334d904c7a7e02133d6cf0e6" args="" -->
const Size </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="23b4d398d041075802696987e2245fce"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::requiredTolerance_" ref="23b4d398d041075802696987e2245fce" args="" -->
const Real </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c44a253fd9a36577d257d179e236061b"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::maxSamples_" ref="c44a253fd9a36577d257d179e236061b" args="" -->
const Size </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="4b3f7693fb03f7e4a6950437590d497a"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::seed_" ref="4b3f7693fb03f7e4a6950437590d497a" args="" -->
const Size </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a2c329ea8ac927646ea5562bdc6981c6"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::nCalibrationSamples_" ref="a2c329ea8ac927646ea5562bdc6981c6" args="" -->
const Size </td><td class="memItemRight" valign="bottom"><b>nCalibrationSamples_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="f3ea19d392c85d2d3937d4ac59a0868c"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::pathPricer_" ref="f3ea19d392c85d2d3937d4ac59a0868c" args="" -->
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a><<br>
path_type > > </td><td class="memItemRight" valign="bottom"><b>pathPricer_</b></td></tr>
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