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<title>QuantLib: LongstaffSchwartzPathPricer Class Template Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a></div>
<h1>LongstaffSchwartzPathPricer Class Template Reference<br>
<small>
[<a class="el" href="group__mcarlo.html">Monte Carlo framework</a>]</small>
</h1><!-- doxytag: class="QuantLib::LongstaffSchwartzPathPricer" --><!-- doxytag: inherits="QuantLib::PathPricer< PathType >" --><code>#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for LongstaffSchwartzPathPricer:</div>
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<p><center><img src="class_quant_lib_1_1_longstaff_schwartz_path_pricer__inherit__graph.png" border="0" usemap="#_longstaff_schwartz_path_pricer__inherit__map" alt="Inheritance graph"></center>
<map name="_longstaff_schwartz_path_pricer__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_path_pricer.html" title="PathPricer\< PathType \>" alt="" coords="23,7,199,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
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<a href="class_quant_lib_1_1_longstaff_schwartz_path_pricer-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
<h3>template<class PathType><br>
class QuantLib::LongstaffSchwartzPathPricer< PathType ></h3>
Longstaff-Schwarz path pricer 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#_test000068">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
<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="8f1d307035ca52ae82e4c13aa0cfe635"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::StateType" ref="8f1d307035ca52ae82e4c13aa0cfe635" args="" -->
typedef EarlyExerciseTraits<br>
< PathType >::StateType </td><td class="memItemRight" valign="bottom"><b>StateType</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="916ae89df9f44e1ffcc92c261a602c5d"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::LongstaffSchwartzPathPricer" ref="916ae89df9f44e1ffcc92c261a602c5d" args="(const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure)" -->
</td><td class="memItemRight" valign="bottom"><b>LongstaffSchwartzPathPricer</b> (const <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> &times, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_early_exercise_path_pricer.html">EarlyExercisePathPricer</a>< PathType > > &, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure)</td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="973b5f4a40082fdcd2ccbb91e5116756"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::operator()" ref="973b5f4a40082fdcd2ccbb91e5116756" args="(const PathType &path) const " -->
<a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>operator()</b> (const PathType &path) const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d4a7316a51b17d0f691bb3e33b95a5ad"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::calibrate" ref="d4a7316a51b17d0f691bb3e33b95a5ad" args="()" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>calibrate</b> ()</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="2bf0af9827386f85f987316431e81711"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::calibrationPhase_" ref="2bf0af9827386f85f987316431e81711" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>calibrationPhase_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="ae6fc85412d430df60e5a9a6f75adb0b"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::pathPricer_" ref="ae6fc85412d430df60e5a9a6f75adb0b" args="" -->
const boost::shared_ptr<br>
< <a class="el" href="class_quant_lib_1_1_early_exercise_path_pricer.html">EarlyExercisePathPricer</a><br>
< PathType > > </td><td class="memItemRight" valign="bottom"><b>pathPricer_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="41a0f0d111413d6b14e5ee6c0b49bc04"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::coeff_" ref="41a0f0d111413d6b14e5ee6c0b49bc04" args="" -->
boost::scoped_array< <a class="el" href="class_quant_lib_1_1_array.html">Array</a> > </td><td class="memItemRight" valign="bottom"><b>coeff_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a5da556975f74f50a2e9efc043e616f0"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::dF_" ref="a5da556975f74f50a2e9efc043e616f0" args="" -->
boost::scoped_array<br>
< <a class="el" href="group__types.html#g642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> > </td><td class="memItemRight" valign="bottom"><b>dF_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="725caf1043d9257b4fe46ff5bfce78f4"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::paths_" ref="725caf1043d9257b4fe46ff5bfce78f4" args="" -->
std::vector< PathType > </td><td class="memItemRight" valign="bottom"><b>paths_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9fc199a3fca80adc28ac11ca88e71a82"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzPathPricer::v_" ref="9fc199a3fca80adc28ac11ca88e71a82" args="" -->
const std::vector<br>
< boost::function1< <a class="el" href="group__types.html#g4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>,<br>
StateType > > </td><td class="memItemRight" valign="bottom"><b>v_</b></td></tr>
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