QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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longstaffschwartzpathpricer.hpp File Reference

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

#include <ql/functional.hpp>
#include <ql/math/generallinearleastsquares.hpp>
#include <ql/math/statistics/incrementalstatistics.hpp>
#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>
#include <ql/methods/montecarlo/pathpricer.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>
#include <utility>
#include <memory>

Go to the source code of this file.

Classes

class  LongstaffSchwartzPathPricer< PathType >
 Longstaff-Schwarz path pricer for early exercise options. More...
 

Namespaces

namespace  QuantLib
 

Detailed Description

Longstaff-Schwarz path pricer for early exercise options.

Definition in file longstaffschwartzpathpricer.hpp.