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<li class="navelem"><a class="el" href="class_quant_lib_1_1_longstaff_schwartz_multi_path_pricer.html">LongstaffSchwartzMultiPathPricer</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<!-- doxytag: class="QuantLib::LongstaffSchwartzMultiPathPricer" --><!-- doxytag: inherits="PathPricer< MultiPath >" -->
<p>Longstaff-Schwarz path pricer for early exercise options.
<a href="class_quant_lib_1_1_longstaff_schwartz_multi_path_pricer.html#details">More...</a></p>
<p><code>#include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp></code></p>
<div class="dynheader">
Inheritance diagram for LongstaffSchwartzMultiPathPricer:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_longstaff_schwartz_multi_path_pricer__inherit__graph.png" border="0" usemap="#_longstaff_schwartz_multi_path_pricer_inherit__map" alt="Inheritance graph"/></div>
<map name="_longstaff_schwartz_multi_path_pricer_inherit__map" id="_longstaff_schwartz_multi_path_pricer_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_path_pricer.html" title="PathPricer\< MultiPath \>" alt="" coords="33,6,193,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_longstaff_schwartz_multi_path_pricer-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aca0fe661d96748ce87b97822e680c25b"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::LongstaffSchwartzMultiPathPricer" ref="aca0fe661d96748ce87b97822e680c25b" args="(const boost::shared_ptr< PathPayoff > &, const std::vector< Size > &, const std::vector< Handle< YieldTermStructure > > &, const Array &, Size, LsmBasisSystem::PolynomType)" -->
 </td><td class="memItemRight" valign="bottom"><b>LongstaffSchwartzMultiPathPricer</b> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_path_payoff.html">PathPayoff</a> > &, const std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > &, const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > > &, const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> &, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>, LsmBasisSystem::PolynomType)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab8d3cda01fecbe97dc404a507bbddab3"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::operator()" ref="ab8d3cda01fecbe97dc404a507bbddab3" args="(const MultiPath &multiPath) const " -->
<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>operator()</b> (const <a class="el" href="class_quant_lib_1_1_multi_path.html">MultiPath</a> &multiPath) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8946c11a6ad8cd19bc92048019269157"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::calibrate" ref="a8946c11a6ad8cd19bc92048019269157" args="()" -->
virtual void </td><td class="memItemRight" valign="bottom"><b>calibrate</b> ()</td></tr>
<tr><td colspan="2"><h2><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a519a2df854099e9633ee870217f35bdb"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::transformPath" ref="a519a2df854099e9633ee870217f35bdb" args="(const MultiPath &path) const " -->
PathInfo </td><td class="memItemRight" valign="bottom"><b>transformPath</b> (const <a class="el" href="class_quant_lib_1_1_multi_path.html">MultiPath</a> &path) const </td></tr>
<tr><td colspan="2"><h2><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2bf0af9827386f85f987316431e81711"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::calibrationPhase_" ref="a2bf0af9827386f85f987316431e81711" args="" -->
bool </td><td class="memItemRight" valign="bottom"><b>calibrationPhase_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8e0be5ed298260798b537947c3401ba5"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::payoff_" ref="a8e0be5ed298260798b537947c3401ba5" args="" -->
const boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_payoff.html">PathPayoff</a> > </td><td class="memItemRight" valign="bottom"><b>payoff_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a41a0f0d111413d6b14e5ee6c0b49bc04"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::coeff_" ref="a41a0f0d111413d6b14e5ee6c0b49bc04" 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" align="right" valign="top"><a class="anchor" id="a4c83a74c28f6f43adf7181d43e4f4639"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::lowerBounds_" ref="a4c83a74c28f6f43adf7181d43e4f4639" args="" -->
boost::scoped_array< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>lowerBounds_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a31ad858ee0c5b623439a83a0d8a7fc16"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::timePositions_" ref="a31ad858ee0c5b623439a83a0d8a7fc16" args="" -->
const std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > </td><td class="memItemRight" valign="bottom"><b>timePositions_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a3c1079af8ec4efe3d4ea5c7cf66aec5e"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::forwardTermStructures_" ref="a3c1079af8ec4efe3d4ea5c7cf66aec5e" args="" -->
const std::vector< <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a><br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > > </td><td class="memItemRight" valign="bottom"><b>forwardTermStructures_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab475263d5c74fbe580446bbff84d2164"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::dF_" ref="ab475263d5c74fbe580446bbff84d2164" args="" -->
const <a class="el" href="class_quant_lib_1_1_array.html">Array</a> </td><td class="memItemRight" valign="bottom"><b>dF_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a88f9ff35b42c5494901216339f716a6c"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::paths_" ref="a88f9ff35b42c5494901216339f716a6c" args="" -->
std::vector< PathInfo > </td><td class="memItemRight" valign="bottom"><b>paths_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a35c1271728ff0408d42092f1d8ef3a0e"></a><!-- doxytag: member="QuantLib::LongstaffSchwartzMultiPathPricer::v_" ref="a35c1271728ff0408d42092f1d8ef3a0e" args="" -->
const std::vector<br class="typebreak"/>
< boost::function1< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>, <br class="typebreak"/>
<a class="el" href="class_quant_lib_1_1_array.html">Array</a> > > </td><td class="memItemRight" valign="bottom"><b>v_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Longstaff-Schwarz path pricer for early exercise options. </p>
<p>References:</p>
<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 class="test"><dt><b><a class="el" href="test.html#_test000008">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
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