QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Types | Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
LongstaffSchwartzPathPricer< PathType > Class Template Reference

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

#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>

+ Inheritance diagram for LongstaffSchwartzPathPricer< PathType >:

Public Types

typedef EarlyExerciseTraits< PathType >::StateType StateType
 

Public Member Functions

 LongstaffSchwartzPathPricer (const TimeGrid &times, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure)
 
Real operator() (const PathType &path) const
 
virtual void calibrate ()
 
Real exerciseProbability () const
 

Protected Member Functions

virtual void post_processing (const Size i, const std::vector< StateType > &state, const std::vector< Real > &price, const std::vector< Real > &exercise)
 

Protected Attributes

bool calibrationPhase_
 
const boost::shared_ptr< EarlyExercisePathPricer< PathType > > pathPricer_
 
QuantLib::IncrementalStatistics exerciseProbability_
 
boost::scoped_array< Arraycoeff_
 
boost::scoped_array< DiscountFactordF_
 
std::vector< PathType > paths_
 
const std::vector< boost::function1< Real, StateType > > v_
 
const Size len_
 

Detailed Description

template<class PathType>
class QuantLib::LongstaffSchwartzPathPricer< PathType >

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