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

#include <longstaffschwartzmultipathpricer.hpp>

Inheritance diagram for LongstaffSchwartzMultiPathPricer:

Collaboration diagram for LongstaffSchwartzMultiPathPricer:

Classes
struct	PathInfo

Public Member Functions
	LongstaffSchwartzMultiPathPricer (const ext::shared_ptr< PathPayoff > &payoff, const std::vector< Size > &timePositions, std::vector< Handle< YieldTermStructure > > forwardTermStructure, Array discounts, Size polynomialOrder, LsmBasisSystem::PolynomialType polynomialType)

Real	operator() (const MultiPath &multiPath) const override

virtual void	calibrate ()

Public Member Functions inherited from PathPricer< MultiPath >
virtual	~PathPricer ()=default

virtual Real	operator() (const MultiPath &path) const=0

Protected Member Functions
PathInfo	transformPath (const MultiPath &path) const

Protected Attributes
bool	calibrationPhase_ = true

const ext::shared_ptr< PathPayoff >	payoff_

std::unique_ptr< Array[]>	coeff_

std::unique_ptr< Real[]>	lowerBounds_

const std::vector< Size >	timePositions_

const std::vector< Handle< YieldTermStructure > >	forwardTermStructures_

const Array	dF_

std::vector< PathInfo >	paths_

const std::vector< std::function< Real(Array)> >	v_

Additional Inherited Members
Public Types inherited from PathPricer< MultiPath >
typedef Real	result_type

Detailed Description

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 45 of file longstaffschwartzmultipathpricer.hpp.

Constructor & Destructor Documentation

◆ LongstaffSchwartzMultiPathPricer()

LongstaffSchwartzMultiPathPricer	(	const ext::shared_ptr< PathPayoff > &	payoff,
		const std::vector< Size > &	timePositions,
		std::vector< Handle< YieldTermStructure > >	forwardTermStructure,
		Array	discounts,
		Size	polynomialOrder,
		LsmBasisSystem::PolynomialType	polynomialType
	)