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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_path_pricer.html">LongstaffSchwartzPathPricer</a></li> </ul>
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<div class="title">LongstaffSchwartzPathPricer< PathType > Class Template Reference<div class="ingroups"><a class="el" href="group__mcarlo.html">Monte Carlo framework</a></div></div> </div>
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<p>Longstaff-Schwarz path pricer for early exercise options.
<a href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html#details">More...</a></p>
<p><code>#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp></code></p>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for LongstaffSchwartzPathPricer< PathType >:</div>
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typedef EarlyExerciseTraits< PathType >::StateType </td><td class="memItemRight" valign="bottom"><b>StateType</b></td></tr>
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<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< PathType ></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 PathType </td><td class="memItemRight" valign="bottom"><b>argument_type</b></td></tr>
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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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 </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 ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_early_exercise_path_pricer.html">EarlyExercisePathPricer</a>< PathType > > &, const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &termStructure)</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>operator()</b> (const PathType &path) const</td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>calibrate</b> ()</td></tr>
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<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>exerciseProbability</b> () const</td></tr>
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virtual void </td><td class="memItemRight" valign="bottom"><b>post_processing</b> (const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> i, const std::vector< StateType > &state, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &price, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &exercise)</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_early_exercise_path_pricer.html">EarlyExercisePathPricer</a>< PathType > > </td><td class="memItemRight" valign="bottom"><b>pathPricer_</b></td></tr>
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<a class="el" href="class_quant_lib_1_1_incremental_statistics.html">QuantLib::IncrementalStatistics</a> </td><td class="memItemRight" valign="bottom"><b>exerciseProbability_</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#ga642a971a0bcbbd2fb26c35e1a06e5761">DiscountFactor</a> > </td><td class="memItemRight" valign="bottom"><b>dF_</b></td></tr>
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std::vector< PathType > </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>(StateType)> > </td><td class="memItemRight" valign="bottom"><b>v_</b></td></tr>
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const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>len_</b></td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class PathType><br />
class QuantLib::LongstaffSchwartzPathPricer< PathType ></h3>
<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#_test000085">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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