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<li class="navelem"><a class="el" href="namespace_quant_lib.html">QuantLib</a></li><li class="navelem"><a class="el" href="class_quant_lib_1_1_longstaff_schwartz_multi_path_pricer.html">LongstaffSchwartzMultiPathPricer</a></li> </ul>
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<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>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LongstaffSchwartzMultiPathPricer:</div>
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Public Member Functions</h2></td></tr>
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 </td><td class="memItemRight" valign="bottom"><b>LongstaffSchwartzMultiPathPricer</b> (const ext::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>
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<tr class="memitem:abdc4aa372630db744c7e8935aec2550c"><td class="memItemLeft" align="right" valign="top"><a id="abdc4aa372630db744c7e8935aec2550c"></a>
<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>
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virtual void </td><td class="memItemRight" valign="bottom"><b>calibrate</b> ()</td></tr>
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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>
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Protected Attributes</h2></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>calibrationPhase_</b></td></tr>
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const ext::shared_ptr< <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>
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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>
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boost::scoped_array< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><b>lowerBounds_</b></td></tr>
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const std::vector< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> > </td><td class="memItemRight" valign="bottom"><b>timePositions_</b></td></tr>
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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> > > </td><td class="memItemRight" valign="bottom"><b>forwardTermStructures_</b></td></tr>
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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>
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std::vector< PathInfo > </td><td class="memItemRight" valign="bottom"><b>paths_</b></td></tr>
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const std::vector< ext::function< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>(<a class="el" href="class_quant_lib_1_1_array.html">Array</a>)> > </td><td class="memItemRight" valign="bottom"><b>v_</b></td></tr>
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Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_path_pricer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_path_pricer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_path_pricer.html">PathPricer< MultiPath ></a></td></tr>
<tr class="memitem:a7524e06c7157318afe5e1473a52f704c inherit pub_types_class_quant_lib_1_1_path_pricer"><td class="memItemLeft" align="right" valign="top"><a id="a7524e06c7157318afe5e1473a52f704c"></a>
typedef <a class="el" href="class_quant_lib_1_1_multi_path.html">MultiPath</a> </td><td class="memItemRight" valign="bottom"><b>argument_type</b></td></tr>
<tr class="separator:a7524e06c7157318afe5e1473a52f704c inherit pub_types_class_quant_lib_1_1_path_pricer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:acd5891901c77cb22bf37f2309008560f inherit pub_types_class_quant_lib_1_1_path_pricer"><td class="memItemLeft" align="right" valign="top"><a id="acd5891901c77cb22bf37f2309008560f"></a>
typedef <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>result_type</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">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#_test000015">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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