- QuantLib
- MCLongstaffSchwartzEngine
 
Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
#include <ql/pricingengines/mclongstaffschwartzengine.hpp>

| Public Types | |
| typedef MC< RNG >::path_type | path_type | 
| typedef McSimulation< MC, RNG, S >::stats_type | stats_type | 
| typedef McSimulation< MC, RNG, S >::path_pricer_type | path_pricer_type | 
| typedef McSimulation< MC, RNG, S >::path_generator_type | path_generator_type | 
| Public Member Functions | |
| MCLongstaffSchwartzEngine (const boost::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >()) | |
| void | calculate () const | 
| Protected Member Functions | |
| virtual boost::shared_ptr < LongstaffSchwartzPathPricer < path_type > > | lsmPathPricer () const =0 | 
| TimeGrid | timeGrid () const | 
| boost::shared_ptr < path_pricer_type > | pathPricer () const | 
| boost::shared_ptr < path_generator_type > | pathGenerator () const | 
| Protected Attributes | |
| boost::shared_ptr < StochasticProcess > | process_ | 
| const Size | timeSteps_ | 
| const Size | timeStepsPerYear_ | 
| const bool | brownianBridge_ | 
| const Size | requiredSamples_ | 
| const Real | requiredTolerance_ | 
| const Size | maxSamples_ | 
| const Size | seed_ | 
| const Size | nCalibrationSamples_ | 
| boost::shared_ptr < LongstaffSchwartzPathPricer < path_type > > | pathPricer_ | 
Longstaff-Schwarz Monte Carlo engine 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