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<title>MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > Class Template Reference</title>
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<li class="navelem"><a class="el" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html">MCLongstaffSchwartzEngine</a> </li>
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<div class="title">MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > Class Template Reference</div> </div>
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<!-- doxytag: class="QuantLib::MCLongstaffSchwartzEngine" --><!-- doxytag: inherits="QuantLib::GenericEngine,QuantLib::McSimulation" -->
<p>Longstaff-Schwarz Monte Carlo engine for early exercise options.
<a href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html#details">More...</a></p>
<p><code>#include <ql/pricingengines/mclongstaffschwartzengine.hpp></code></p>
<div class="dynheader">
Inheritance diagram for MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_m_c_longstaff_schwartz_engine__inherit__graph.png" border="0" usemap="#_m_c_longstaff_schwartz_engine_3_01_generic_engine_00_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map" alt="Inheritance graph"/></div>
<map name="_m_c_longstaff_schwartz_engine_3_01_generic_engine_00_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map" id="_m_c_longstaff_schwartz_engine_3_01_generic_engine_00_01_m_c_00_01_r_n_g_00_01_s_01_4_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_generic_engine.html" title="template base class for option pricing engines" alt="" coords="5,6,307,37"/><area shape="rect" id="node4" href="class_quant_lib_1_1_mc_simulation.html" title="base class for Monte Carlo engines" alt="" coords="331,6,528,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a448f662b148297f7628d0db98064f1c2"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::path_type" ref="a448f662b148297f7628d0db98064f1c2" args="" -->
typedef MC< RNG >::path_type </td><td class="memItemRight" valign="bottom"><b>path_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9e8c6745d46fec52af674b05ce5b75d7"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::stats_type" ref="a9e8c6745d46fec52af674b05ce5b75d7" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, <br class="typebreak"/>
S >::stats_type </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7922dd7fea2c004ef3dc817d274cfe84"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::path_pricer_type" ref="a7922dd7fea2c004ef3dc817d274cfe84" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, <br class="typebreak"/>
S >::<a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> </td><td class="memItemRight" valign="bottom"><b>path_pricer_type</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a2e301ff1e9761ffd43e2e8a626d5ae90"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::path_generator_type" ref="a2e301ff1e9761ffd43e2e8a626d5ae90" args="" -->
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, <br class="typebreak"/>
S >::<a class="el" href="class_quant_lib_1_1_path_generator.html">path_generator_type</a> </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<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="a894a2d7f9478542e490dafd0efb8090b"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::MCLongstaffSchwartzEngine" ref="a894a2d7f9478542e490dafd0efb8090b" args="(const boost::shared_ptr< StochasticProcess > &process, 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> (const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > &process, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeSteps, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples, BigNatural seed, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nCalibrationSamples=Null< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a10873979f635888606e03f9cb2d8a096"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::calculate" ref="a10873979f635888606e03f9cb2d8a096" args="() const " -->
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const </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="a87c8e8f4035bffb8f0426e3ab7778713"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::lsmPathPricer" ref="a87c8e8f4035bffb8f0426e3ab7778713" args="() const =0" -->
virtual boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a><br class="typebreak"/>
< path_type > > </td><td class="memItemRight" valign="bottom"><b>lsmPathPricer</b> () const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aac0bc663d50bdc0fd6771bb1ad2481e5"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::timeGrid" ref="aac0bc663d50bdc0fd6771bb1ad2481e5" 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" align="right" valign="top"><a class="anchor" id="a78b83c9144dd5411fbf5b70280bfdf4e"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::pathPricer" ref="a78b83c9144dd5411fbf5b70280bfdf4e" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathPricer</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="abad9146c6aadae919174e51ab0b6533e"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::pathGenerator" ref="abad9146c6aadae919174e51ab0b6533e" args="() const " -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () 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="aa94312a20d5fdd30808a9c44fea1c986"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::process_" ref="aa94312a20d5fdd30808a9c44fea1c986" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > </td><td class="memItemRight" valign="bottom"><b>process_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a1a8040241758f53937896005a5764344"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::timeSteps_" ref="a1a8040241758f53937896005a5764344" args="" -->
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad58dc5329a35fa64347940b5f1221fab"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::timeStepsPerYear_" ref="ad58dc5329a35fa64347940b5f1221fab" args="" -->
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeStepsPerYear_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a51081fa144e357770bd49b179b58935c"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::brownianBridge_" ref="a51081fa144e357770bd49b179b58935c" args="" -->
const bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a7a4398e3334d904c7a7e02133d6cf0e6"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::requiredSamples_" ref="a7a4398e3334d904c7a7e02133d6cf0e6" args="" -->
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>requiredSamples_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a23b4d398d041075802696987e2245fce"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::requiredTolerance_" ref="a23b4d398d041075802696987e2245fce" args="" -->
const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac44a253fd9a36577d257d179e236061b"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::maxSamples_" ref="ac44a253fd9a36577d257d179e236061b" args="" -->
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>maxSamples_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a4b3f7693fb03f7e4a6950437590d497a"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::seed_" ref="a4b3f7693fb03f7e4a6950437590d497a" args="" -->
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>seed_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa2c329ea8ac927646ea5562bdc6981c6"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::nCalibrationSamples_" ref="aa2c329ea8ac927646ea5562bdc6981c6" args="" -->
const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>nCalibrationSamples_</b></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af3ea19d392c85d2d3937d4ac59a0868c"></a><!-- doxytag: member="QuantLib::MCLongstaffSchwartzEngine::pathPricer_" ref="af3ea19d392c85d2d3937d4ac59a0868c" args="" -->
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a><br class="typebreak"/>
< path_type > > </td><td class="memItemRight" valign="bottom"><b>pathPricer_</b></td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><h3>template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics><br/>
class QuantLib::MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S ></h3>
<p>Longstaff-Schwarz Monte Carlo engine 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#_test000107">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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