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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_m_c_longstaff_schwartz_engine.html">MCLongstaffSchwartzEngine</a></li> </ul>
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<a href="#pub-types">Public Types</a> |
<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration > Class Template Reference<span class="mlabels"><span class="mlabel">abstract</span></span></div> </div>
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<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>
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<img id="dynsection-0-trigger" src="closed.png" alt="+"/> Inheritance diagram for MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration >:</div>
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<table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr class="memitem:a448f662b148297f7628d0db98064f1c2"><td class="memItemLeft" align="right" valign="top"><a id="a448f662b148297f7628d0db98064f1c2"></a>
typedef MC< RNG >::path_type </td><td class="memItemRight" valign="bottom"><b>path_type</b></td></tr>
<tr class="separator:a448f662b148297f7628d0db98064f1c2"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a9e8c6745d46fec52af674b05ce5b75d7"><td class="memItemLeft" align="right" valign="top"><a id="a9e8c6745d46fec52af674b05ce5b75d7"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, S >::<a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">stats_type</a> </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr class="separator:a9e8c6745d46fec52af674b05ce5b75d7"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a7922dd7fea2c004ef3dc817d274cfe84"><td class="memItemLeft" align="right" valign="top"><a id="a7922dd7fea2c004ef3dc817d274cfe84"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, 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 class="separator:a7922dd7fea2c004ef3dc817d274cfe84"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a2e301ff1e9761ffd43e2e8a626d5ae90"><td class="memItemLeft" align="right" valign="top"><a id="a2e301ff1e9761ffd43e2e8a626d5ae90"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG, S >::<a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr class="separator:a2e301ff1e9761ffd43e2e8a626d5ae90"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a11a236fecef3a68733213c7e0cf2c5da"><td class="memItemLeft" align="right" valign="top"><a id="a11a236fecef3a68733213c7e0cf2c5da"></a>
typedef <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation</a>< MC, RNG_Calibration, S >::<a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> </td><td class="memItemRight" valign="bottom"><b>path_generator_type_calibration</b></td></tr>
<tr class="separator:a11a236fecef3a68733213c7e0cf2c5da"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="a78de5f2b6bce96d718e3c18b9f52d67c"></a>
typedef boost::unordered_set< ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > > </td><td class="memItemRight" valign="bottom"><b>set_type</b></td></tr>
<tr class="separator:a78de5f2b6bce96d718e3c18b9f52d67c inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="ae98429250f6997df7b87f4b37454609e"></a>
typedef set_type::iterator </td><td class="memItemRight" valign="bottom"><b>iterator</b></td></tr>
<tr class="separator:ae98429250f6997df7b87f4b37454609e inherit pub_types_class_quant_lib_1_1_observer"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_types_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pub_types_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Public Types inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:a4e86ff468be75be1d9ec907a1af3818f inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a4e86ff468be75be1d9ec907a1af3818f"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::<a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> </td><td class="memItemRight" valign="bottom"><b>path_generator_type</b></td></tr>
<tr class="separator:a4e86ff468be75be1d9ec907a1af3818f inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ae4588b42428cb979b0fad7369aef51a6 inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ae4588b42428cb979b0fad7369aef51a6"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::<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 class="separator:ae4588b42428cb979b0fad7369aef51a6 inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a38a0f2b84a876f1da1a5805922d8bb7b inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a38a0f2b84a876f1da1a5805922d8bb7b"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::<a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">stats_type</a> </td><td class="memItemRight" valign="bottom"><b>stats_type</b></td></tr>
<tr class="separator:a38a0f2b84a876f1da1a5805922d8bb7b inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a94aa31e474a79b56b5921e9b5e59090d inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a94aa31e474a79b56b5921e9b5e59090d"></a>
typedef <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> >::result_type </td><td class="memItemRight" valign="bottom"><b>result_type</b></td></tr>
<tr class="separator:a94aa31e474a79b56b5921e9b5e59090d inherit pub_types_class_quant_lib_1_1_mc_simulation"><td class="memSeparator" colspan="2"> </td></tr>
</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr class="memitem:a099272da5bf9fbdfe06d0c16c0fb09e9"><td class="memItemLeft" align="right" valign="top"> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html#a099272da5bf9fbdfe06d0c16c0fb09e9">MCLongstaffSchwartzEngine</a> (const ext::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, <a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> seed, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> nCalibrationSamples=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> >(), boost::optional< bool > brownianBridgeCalibration=boost::none, boost::optional< bool > antitheticVariateCalibration=boost::none, <a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> seedCalibration=<a class="el" href="class_quant_lib_1_1_null.html">Null</a>< <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> >())</td></tr>
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<tr class="memitem:a082ff96da379d5e17436372ccb3c0972"><td class="memItemLeft" align="right" valign="top"><a id="a082ff96da379d5e17436372ccb3c0972"></a>
void </td><td class="memItemRight" valign="bottom"><b>calculate</b> () const</td></tr>
<tr class="separator:a082ff96da379d5e17436372ccb3c0972"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="inherit_header pub_methods_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< ArgumentsType, ResultsType ></a></td></tr>
<tr class="memitem:a71b88a849e976521267094f05b679b4a inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="a71b88a849e976521267094f05b679b4a"></a>
PricingEngine::arguments * </td><td class="memItemRight" valign="bottom"><b>getArguments</b> () const</td></tr>
<tr class="separator:a71b88a849e976521267094f05b679b4a inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:a444e176623e5142800ac5abd35556c10 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="a444e176623e5142800ac5abd35556c10"></a>
const PricingEngine::results * </td><td class="memItemRight" valign="bottom"><b>getResults</b> () const</td></tr>
<tr class="separator:a444e176623e5142800ac5abd35556c10 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ad20897c5c8bd47f5d4005989bead0e55 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="ad20897c5c8bd47f5d4005989bead0e55"></a>
void </td><td class="memItemRight" valign="bottom"><b>reset</b> ()</td></tr>
<tr class="separator:ad20897c5c8bd47f5d4005989bead0e55 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memSeparator" colspan="2"> </td></tr>
<tr class="memitem:ac5c54df7ed3b930268c8d7752c101725 inherit pub_methods_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_generic_engine.html#ac5c54df7ed3b930268c8d7752c101725">update</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observable"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observable')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a></td></tr>
<tr class="memitem:a840dd96e33a304cbf681d357de7f48d0 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a id="a840dd96e33a304cbf681d357de7f48d0"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observable</b> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a522aacdd0f2408fe5e46527a6db999b4 inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top"><a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a522aacdd0f2408fe5e46527a6db999b4">operator=</a> (const <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> &)</td></tr>
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<tr class="memitem:a397546715bfc5aedd1d16dd202a19d4c inherit pub_methods_class_quant_lib_1_1_observable"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observable.html#a397546715bfc5aedd1d16dd202a19d4c">notifyObservers</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_observer"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_observer')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a></td></tr>
<tr class="memitem:af6a9d3ca0b7f388f3b7ccb1eccf11f63 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top"><a id="af6a9d3ca0b7f388f3b7ccb1eccf11f63"></a>
 </td><td class="memItemRight" valign="bottom"><b>Observer</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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<a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> & </td><td class="memItemRight" valign="bottom"><b>operator=</b> (const <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> &)</td></tr>
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std::pair< iterator, bool > </td><td class="memItemRight" valign="bottom"><b>registerWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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<tr class="memitem:a51d57eb97a3a57312a47bda29235f182 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a51d57eb97a3a57312a47bda29235f182">registerWithObservables</a> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observer.html">Observer</a> > &)</td></tr>
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<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>unregisterWith</b> (const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_observable.html">Observable</a> > &)</td></tr>
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void </td><td class="memItemRight" valign="bottom"><b>unregisterWithAll</b> ()</td></tr>
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<tr class="memitem:a3d53f9669c128dadc74a5d044a7c8e68 inherit pub_methods_class_quant_lib_1_1_observer"><td class="memItemLeft" align="right" valign="top">virtual void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_observer.html#a3d53f9669c128dadc74a5d044a7c8e68">deepUpdate</a> ()</td></tr>
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<tr class="inherit_header pub_methods_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pub_methods_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Public Member Functions inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:a5a561aadfe4f8552ee3e1a793a229973 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a5a561aadfe4f8552ee3e1a793a229973"></a>
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#a5a561aadfe4f8552ee3e1a793a229973">value</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> tolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples=<a class="el" href="group__limit_macros.html#gac49205214551771cf97efe9839ac6cb5">QL_MAX_INTEGER</a>, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> minSamples=1023) const</td></tr>
<tr class="memdesc:a5a561aadfe4f8552ee3e1a793a229973 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">add samples until the required absolute tolerance is reached <br /></td></tr>
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<tr class="memitem:a19d48f0ef361732925944d5406327b62 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a19d48f0ef361732925944d5406327b62"></a>
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#a19d48f0ef361732925944d5406327b62">valueWithSamples</a> (<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> samples) const</td></tr>
<tr class="memdesc:a19d48f0ef361732925944d5406327b62 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">simulate a fixed number of samples <br /></td></tr>
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<tr class="memitem:a2b77f533f06da69df238758cd636985e inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a2b77f533f06da69df238758cd636985e"></a>
result_type </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#a2b77f533f06da69df238758cd636985e">errorEstimate</a> () const</td></tr>
<tr class="memdesc:a2b77f533f06da69df238758cd636985e inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">error estimated using the samples simulated so far <br /></td></tr>
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<tr class="memitem:abf7622f9bc94fbb40425a63aea8bac43 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="abf7622f9bc94fbb40425a63aea8bac43"></a>
const <a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">stats_type</a> & </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#abf7622f9bc94fbb40425a63aea8bac43">sampleAccumulator</a> () const</td></tr>
<tr class="memdesc:abf7622f9bc94fbb40425a63aea8bac43 inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">access to the sample accumulator for richer statistics <br /></td></tr>
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<tr class="memitem:ad5f42177fb934aa1898abe8120e7d8dc inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ad5f42177fb934aa1898abe8120e7d8dc"></a>
void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_mc_simulation.html#ad5f42177fb934aa1898abe8120e7d8dc">calculate</a> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> requiredTolerance, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> requiredSamples, <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> maxSamples) const</td></tr>
<tr class="memdesc:ad5f42177fb934aa1898abe8120e7d8dc inherit pub_methods_class_quant_lib_1_1_mc_simulation"><td class="mdescLeft"> </td><td class="mdescRight">basic calculate method provided to inherited pricing engines <br /></td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-methods"></a>
Protected Member Functions</h2></td></tr>
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virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a>< path_type > > </td><td class="memItemRight" valign="bottom"><b>lsmPathPricer</b> () const =0</td></tr>
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<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>
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ext::shared_ptr< <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>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const</td></tr>
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<tr class="inherit_header pro_methods_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pro_methods_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:ab494776b2804de3802deefd3b35e2503 inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ab494776b2804de3802deefd3b35e2503"></a>
 </td><td class="memItemRight" valign="bottom"><b>McSimulation</b> (bool antitheticVariate, bool controlVariate)</td></tr>
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virtual ext::shared_ptr< <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=0</td></tr>
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virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>pathGenerator</b> () const=0</td></tr>
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virtual <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </td><td class="memItemRight" valign="bottom"><b>timeGrid</b> () const=0</td></tr>
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virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_path_pricer.html">path_pricer_type</a> > </td><td class="memItemRight" valign="bottom"><b>controlPathPricer</b> () const</td></tr>
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virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_multi_path_generator.html">path_generator_type</a> > </td><td class="memItemRight" valign="bottom"><b>controlPathGenerator</b> () const</td></tr>
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virtual ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_pricing_engine.html">PricingEngine</a> > </td><td class="memItemRight" valign="bottom"><b>controlPricingEngine</b> () const</td></tr>
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<tr class="memitem:a1ea677195f04cb07a45b762a6fb0b16e inherit pro_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a1ea677195f04cb07a45b762a6fb0b16e"></a>
virtual result_type </td><td class="memItemRight" valign="bottom"><b>controlVariateValue</b> () const</td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="pro-attribs"></a>
Protected Attributes</h2></td></tr>
<tr class="memitem:a1e8595e5b016209840f487121dbee3e7"><td class="memItemLeft" align="right" valign="top"><a id="a1e8595e5b016209840f487121dbee3e7"></a>
ext::shared_ptr< <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>
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const <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>timeSteps_</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>timeStepsPerYear_</b></td></tr>
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const bool </td><td class="memItemRight" valign="bottom"><b>brownianBridge_</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>requiredSamples_</b></td></tr>
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const <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>requiredTolerance_</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>maxSamples_</b></td></tr>
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const <a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td><td class="memItemRight" valign="bottom"><b>seed_</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>nCalibrationSamples_</b></td></tr>
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const bool </td><td class="memItemRight" valign="bottom"><b>brownianBridgeCalibration_</b></td></tr>
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const bool </td><td class="memItemRight" valign="bottom"><b>antitheticVariateCalibration_</b></td></tr>
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const <a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td><td class="memItemRight" valign="bottom"><b>seedCalibration_</b></td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_longstaff_schwartz_path_pricer.html">LongstaffSchwartzPathPricer</a>< path_type > > </td><td class="memItemRight" valign="bottom"><b>pathPricer_</b></td></tr>
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ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG_Calibration, S > > </td><td class="memItemRight" valign="bottom"><b>mcModelCalibration_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_generic_engine"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_generic_engine')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_generic_engine.html">GenericEngine< ArgumentsType, ResultsType ></a></td></tr>
<tr class="memitem:afee5e1b26214353757b120d9f5ad2169 inherit pro_attribs_class_quant_lib_1_1_generic_engine"><td class="memItemLeft" align="right" valign="top"><a id="afee5e1b26214353757b120d9f5ad2169"></a>
ArgumentsType </td><td class="memItemRight" valign="bottom"><b>arguments_</b></td></tr>
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ResultsType </td><td class="memItemRight" valign="bottom"><b>results_</b></td></tr>
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<tr class="inherit_header pro_attribs_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pro_attribs_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Protected Attributes inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:ac5c688be78662f3ff27e1f0cc6d96c86 inherit pro_attribs_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ac5c688be78662f3ff27e1f0cc6d96c86"></a>
ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_monte_carlo_model.html">MonteCarloModel</a>< MC, RNG, <a class="el" href="namespace_quant_lib.html#a235b6c8805adaa743cc845aae9c05946">Statistics</a> > > </td><td class="memItemRight" valign="bottom"><b>mcModel_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>antitheticVariate_</b></td></tr>
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bool </td><td class="memItemRight" valign="bottom"><b>controlVariate_</b></td></tr>
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</table><table class="memberdecls">
<tr class="heading"><td colspan="2"><h2 class="groupheader"><a name="inherited"></a>
Additional Inherited Members</h2></td></tr>
<tr class="inherit_header pro_static_methods_class_quant_lib_1_1_mc_simulation"><td colspan="2" onclick="javascript:toggleInherit('pro_static_methods_class_quant_lib_1_1_mc_simulation')"><img src="closed.png" alt="-"/> Static Protected Member Functions inherited from <a class="el" href="class_quant_lib_1_1_mc_simulation.html">McSimulation< MC, RNG, Statistics ></a></td></tr>
<tr class="memitem:a6e88fa36deb63e5bf40cad0082068f57 inherit pro_static_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="a6e88fa36deb63e5bf40cad0082068f57"></a>
static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxError</b> (const Sequence &sequence)</td></tr>
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<tr class="memitem:ab8fcdfbea80f9ee9882c197655216b2d inherit pro_static_methods_class_quant_lib_1_1_mc_simulation"><td class="memItemLeft" align="right" valign="top"><a id="ab8fcdfbea80f9ee9882c197655216b2d"></a>
static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maxError</b> (<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> error)</td></tr>
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<a name="details" id="details"></a><h2 class="groupheader">Detailed Description</h2>
<div class="textblock"><h3>template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics, class RNG_Calibration = RNG><br />
class QuantLib::MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S, RNG_Calibration ></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#_test000117">Tests:</a></b></dt><dd>the correctness of the returned value is tested by reproducing results available in web/literature </dd></dl>
</div><h2 class="groupheader">Constructor & Destructor Documentation</h2>
<a id="a099272da5bf9fbdfe06d0c16c0fb09e9"></a>
<h2 class="memtitle"><span class="permalink"><a href="#a099272da5bf9fbdfe06d0c16c0fb09e9">◆ </a></span>MCLongstaffSchwartzEngine()</h2>
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<td class="memname"><a class="el" href="class_quant_lib_1_1_m_c_longstaff_schwartz_engine.html">MCLongstaffSchwartzEngine</a> </td>
<td>(</td>
<td class="paramtype">const ext::shared_ptr< <a class="el" href="class_quant_lib_1_1_stochastic_process.html">StochasticProcess</a> > & </td>
<td class="paramname"><em>process</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>timeSteps</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>timeStepsPerYear</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype">bool </td>
<td class="paramname"><em>brownianBridge</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype">bool </td>
<td class="paramname"><em>antitheticVariate</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype">bool </td>
<td class="paramname"><em>controlVariate</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>requiredSamples</em>, </td>
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<td class="paramkey"></td>
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<td class="paramtype"><a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td>
<td class="paramname"><em>requiredTolerance</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>maxSamples</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td>
<td class="paramname"><em>seed</em>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td>
<td class="paramname"><em>nCalibrationSamples</em> = <code><a class="el" href="class_quant_lib_1_1_null.html">Null</a><<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>>()</code>, </td>
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<td class="paramkey"></td>
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<td class="paramtype">boost::optional< bool > </td>
<td class="paramname"><em>brownianBridgeCalibration</em> = <code>boost::none</code>, </td>
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<td class="paramkey"></td>
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<td class="paramtype">boost::optional< bool > </td>
<td class="paramname"><em>antitheticVariateCalibration</em> = <code>boost::none</code>, </td>
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<td class="paramkey"></td>
<td></td>
<td class="paramtype"><a class="el" href="namespace_quant_lib.html#ae3df3f13e67885465f4e359b3bffa4e6">BigNatural</a> </td>
<td class="paramname"><em>seedCalibration</em> = <code><a class="el" href="class_quant_lib_1_1_null.html">Null</a><<a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a>>()</code> </td>
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<td>)</td>
<td></td><td></td>
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</div><div class="memdoc">
<p>If the parameters brownianBridge and antitheticVariate are not given they are chosen to be identical to the respective parameters for pricing; the seed for calibration is chosen to be zero if the pricing seed is zero and otherwise as the pricing seed plus some offset to avoid identical paths in calibration and pricing; note however that this has no effect for low discrepancy RNGs usually, it is therefore recommended to use pseudo random generators for the calibration phase always (and possibly quasi monte carlo in the subsequent pricing). </p>
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