LongstaffSchwartzMultiPathPricer Class Reference

Longstaff-Schwarz path pricer for early exercise options. More...

#include <ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp>

Inheritance diagram for LongstaffSchwartzMultiPathPricer:

List of all members.

Public Member Functions

 LongstaffSchwartzMultiPathPricer (const boost::shared_ptr< PathPayoff > &, const std::vector< Size > &, const std::vector< Handle< YieldTermStructure > > &, const Array &, Size, LsmBasisSystem::PolynomType)
Real operator() (const MultiPath &multiPath) const
virtual void calibrate ()

Protected Member Functions

PathInfo transformPath (const MultiPath &path) const

Protected Attributes

bool calibrationPhase_
const boost::shared_ptr
< PathPayoff
payoff_
boost::scoped_array< Arraycoeff_
boost::scoped_array< ReallowerBounds_
const std::vector< SizetimePositions_
const std::vector< Handle
< YieldTermStructure > > 
forwardTermStructures_
const Array dF_
std::vector< PathInfo > paths_
const std::vector
< boost::function1< Real,
Array > > 
v_

Detailed Description

Longstaff-Schwarz path pricer for early exercise options.

References:

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

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature