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

#include <longstaffschwartzpathpricer.hpp>

Inheritance diagram for LongstaffSchwartzPathPricer< PathType >:

Collaboration diagram for LongstaffSchwartzPathPricer< PathType >:

Public Types
typedef EarlyExerciseTraits< PathType >::StateType	StateType

Public Types inherited from PathPricer< PathType, ValueType >
typedef ValueType	result_type

Public Member Functions
	LongstaffSchwartzPathPricer (const TimeGrid &times, ext::shared_ptr< EarlyExercisePathPricer< PathType > >, const ext::shared_ptr< YieldTermStructure > &termStructure)

Real	operator() (const PathType &path) const override

virtual void	calibrate ()

Real	exerciseProbability () const

Public Member Functions inherited from PathPricer< PathType, ValueType >
virtual	~PathPricer ()=default

virtual ValueType	operator() (const PathType &path) const =0

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_ = true

const ext::shared_ptr< EarlyExercisePathPricer< PathType > >	pathPricer_

QuantLib::IncrementalStatistics	exerciseProbability_

std::unique_ptr< Array[]>	coeff_

std::unique_ptr< DiscountFactor[]>	dF_

std::vector< PathType >	paths_

const std::vector< ext::function< 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

Definition at line 53 of file longstaffschwartzpathpricer.hpp.

Member Typedef Documentation

◆ StateType

typedef EarlyExerciseTraits<PathType>::StateType StateType

Definition at line 55 of file longstaffschwartzpathpricer.hpp.

Constructor & Destructor Documentation

◆ LongstaffSchwartzPathPricer()

LongstaffSchwartzPathPricer	(	const TimeGrid &	times,
		ext::shared_ptr< EarlyExercisePathPricer< PathType > >	pathPricer,
		const ext::shared_ptr< YieldTermStructure > &	termStructure
	)

Definition at line 87 of file longstaffschwartzpathpricer.hpp.

Here is the call graph for this function:

Member Function Documentation

◆ operator()()

Real operator() ( const PathType & path ) const

overridevirtual

Implements PathPricer< PathType, ValueType >.

Definition at line 102 of file longstaffschwartzpathpricer.hpp.

◆ calibrate()

void calibrate

virtual

Definition at line 143 of file longstaffschwartzpathpricer.hpp.

Here is the call graph for this function:

◆ exerciseProbability()

Real exerciseProbability

Definition at line 209 of file longstaffschwartzpathpricer.hpp.

◆ post_processing()

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