LongstaffSchwartzExerciseStrategy Class Reference

#include <lsstrategy.hpp>

Inheritance diagram for LongstaffSchwartzExerciseStrategy:

Collaboration diagram for LongstaffSchwartzExerciseStrategy:

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 &currentState) const override
void	nextStep (const CurveState &currentState) 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 &currentState) const=0
virtual void	nextStep (const CurveState &currentState)=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_

Detailed Description

Examples

MarketModels.cpp.

Definition at line 32 of file lsstrategy.hpp.

Constructor & Destructor Documentation

LongstaffSchwartzExerciseStrategy()

LongstaffSchwartzExerciseStrategy	(	Clone< MarketModelBasisSystem >	basisSystem,
		std::vector< std::vector< Real > >	basisCoefficients,
		const EvolutionDescription &	evolution,
		const std::vector< Size > &	numeraires,
		Clone< MarketModelExerciseValue >	exercise,
		Clone< MarketModelExerciseValue >	control
	)

Definition at line 31 of file lsstrategy.cpp.

Here is the call graph for this function:

Member Function Documentation

exerciseTimes()

std::vector< Time > exerciseTimes ( ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 88 of file lsstrategy.cpp.

relevantTimes()

std::vector< Time > relevantTimes ( ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 93 of file lsstrategy.cpp.

reset()

void reset ( )

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 97 of file lsstrategy.cpp.

exercise()

bool exercise ( const CurveState &  currentState ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 105 of file lsstrategy.cpp.

Here is the call graph for this function:

nextStep()

void nextStep ( const CurveState &  currentState )

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 136 of file lsstrategy.cpp.

Here is the call graph for this function:

clone()

std::unique_ptr< ExerciseStrategy< CurveState > > clone ( ) const

overridevirtual

Implements ExerciseStrategy< CurveState >.

Definition at line 158 of file lsstrategy.cpp.

Member Data Documentation

basisSystem_

Clone<MarketModelBasisSystem> basisSystem_

private

Definition at line 48 of file lsstrategy.hpp.

basisCoefficients_

std::vector<std::vector<Real> > basisCoefficients_

private

Definition at line 49 of file lsstrategy.hpp.

exercise_

Clone<MarketModelExerciseValue> exercise_

private

Definition at line 50 of file lsstrategy.hpp.

control_

Clone<MarketModelExerciseValue> control_

private

Definition at line 51 of file lsstrategy.hpp.

numeraires_

std::vector<Size> numeraires_

private

Definition at line 52 of file lsstrategy.hpp.

currentIndex_

Size currentIndex_

private

Definition at line 54 of file lsstrategy.hpp.

principalInNumerairePortfolio_

Real principalInNumerairePortfolio_

private

Definition at line 55 of file lsstrategy.hpp.

newPrincipal_

Real newPrincipal_

private

Definition at line 55 of file lsstrategy.hpp.

exerciseTimes_

std::vector<Time> exerciseTimes_

private

Definition at line 56 of file lsstrategy.hpp.

relevantTimes_

std::vector<Time> relevantTimes_

private

Definition at line 56 of file lsstrategy.hpp.

isBasisTime_

std::valarray<bool> isBasisTime_

private

Definition at line 57 of file lsstrategy.hpp.

isRebateTime_

std::valarray<bool> isRebateTime_

private

Definition at line 57 of file lsstrategy.hpp.

isControlTime_

std::valarray<bool> isControlTime_

private

Definition at line 57 of file lsstrategy.hpp.

isExerciseTime_

std::valarray<bool> isExerciseTime_

private

Definition at line 58 of file lsstrategy.hpp.

rebateDiscounters_

std::vector<MarketModelDiscounter> rebateDiscounters_

private

Definition at line 59 of file lsstrategy.hpp.

controlDiscounters_

std::vector<MarketModelDiscounter> controlDiscounters_

private

Definition at line 60 of file lsstrategy.hpp.

basisValues_

std::vector<std::vector<Real> > basisValues_

mutableprivate

Definition at line 61 of file lsstrategy.hpp.

exerciseIndex_

std::vector<Size> exerciseIndex_

private

Definition at line 62 of file lsstrategy.hpp.