- QuantLib
- LongstaffSchwartzPathPricer
 
Longstaff-Schwarz path pricer for early exercise options. More...
#include <ql/methods/montecarlo/longstaffschwartzpathpricer.hpp>

| Public Types | |
| typedef EarlyExerciseTraits < PathType >::StateType | StateType | 
| Public Member Functions | |
| LongstaffSchwartzPathPricer (const TimeGrid ×, const boost::shared_ptr< EarlyExercisePathPricer< PathType > > &, const boost::shared_ptr< YieldTermStructure > &termStructure) | |
| Real | operator() (const PathType &path) const | 
| virtual void | calibrate () | 
| Protected Attributes | |
| bool | calibrationPhase_ | 
| const boost::shared_ptr < EarlyExercisePathPricer < PathType > > | pathPricer_ | 
| boost::scoped_array< Array > | coeff_ | 
| boost::scoped_array < DiscountFactor > | dF_ | 
| std::vector< PathType > | paths_ | 
| const std::vector < boost::function1< Real, StateType > > | v_ | 
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