QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <lsstrategy.hpp>
Public Member Functions | |
LongstaffSchwartzExerciseStrategy (Clone< MarketModelBasisSystem > basisSystem, std::vector< std::vector< Real > > basisCoefficients, const EvolutionDescription &evolution, const std::vector< Size > &numeraires, Clone< MarketModelExerciseValue > exercise, Clone< MarketModelExerciseValue > control) | |
std::vector< Time > | exerciseTimes () const override |
std::vector< Time > | relevantTimes () const override |
void | reset () override |
bool | exercise (const CurveState ¤tState) const override |
void | nextStep (const CurveState ¤tState) override |
std::unique_ptr< ExerciseStrategy< CurveState > > | clone () const override |
Public Member Functions inherited from ExerciseStrategy< CurveState > | |
virtual | ~ExerciseStrategy ()=default |
virtual std::vector< Time > | exerciseTimes () const=0 |
virtual std::vector< Time > | relevantTimes () const=0 |
virtual void | reset ()=0 |
virtual bool | exercise (const CurveState ¤tState) const=0 |
virtual void | nextStep (const CurveState ¤tState)=0 |
virtual std::unique_ptr< ExerciseStrategy< CurveState > > | clone () const=0 |
Private Attributes | |
Clone< MarketModelBasisSystem > | basisSystem_ |
std::vector< std::vector< Real > > | basisCoefficients_ |
Clone< MarketModelExerciseValue > | exercise_ |
Clone< MarketModelExerciseValue > | control_ |
std::vector< Size > | numeraires_ |
Size | currentIndex_ |
Real | principalInNumerairePortfolio_ |
Real | newPrincipal_ |
std::vector< Time > | exerciseTimes_ |
std::vector< Time > | relevantTimes_ |
std::valarray< bool > | isBasisTime_ |
std::valarray< bool > | isRebateTime_ |
std::valarray< bool > | isControlTime_ |
std::valarray< bool > | isExerciseTime_ |
std::vector< MarketModelDiscounter > | rebateDiscounters_ |
std::vector< MarketModelDiscounter > | controlDiscounters_ |
std::vector< std::vector< Real > > | basisValues_ |
std::vector< Size > | exerciseIndex_ |
Definition at line 32 of file lsstrategy.hpp.
LongstaffSchwartzExerciseStrategy | ( | Clone< MarketModelBasisSystem > | basisSystem, |
std::vector< std::vector< Real > > | basisCoefficients, | ||
const EvolutionDescription & | evolution, | ||
const std::vector< Size > & | numeraires, | ||
Clone< MarketModelExerciseValue > | exercise, | ||
Clone< MarketModelExerciseValue > | control | ||
) |
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 88 of file lsstrategy.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 93 of file lsstrategy.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 97 of file lsstrategy.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 105 of file lsstrategy.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 136 of file lsstrategy.cpp.
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overridevirtual |
Implements ExerciseStrategy< CurveState >.
Definition at line 158 of file lsstrategy.cpp.
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private |
Definition at line 48 of file lsstrategy.hpp.
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Definition at line 49 of file lsstrategy.hpp.
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Definition at line 50 of file lsstrategy.hpp.
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Definition at line 51 of file lsstrategy.hpp.
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Definition at line 52 of file lsstrategy.hpp.
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Definition at line 54 of file lsstrategy.hpp.
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Definition at line 55 of file lsstrategy.hpp.
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Definition at line 55 of file lsstrategy.hpp.
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Definition at line 56 of file lsstrategy.hpp.
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Definition at line 56 of file lsstrategy.hpp.
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Definition at line 57 of file lsstrategy.hpp.
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Definition at line 57 of file lsstrategy.hpp.
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Definition at line 57 of file lsstrategy.hpp.
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Definition at line 58 of file lsstrategy.hpp.
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Definition at line 59 of file lsstrategy.hpp.
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Definition at line 60 of file lsstrategy.hpp.
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mutableprivate |
Definition at line 61 of file lsstrategy.hpp.
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Definition at line 62 of file lsstrategy.hpp.