QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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genericlsregression.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2006 Mark Joshi
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20
21#ifndef quantlib_generic_longstaff_schwartz_hpp
22#define quantlib_generic_longstaff_schwartz_hpp
23
25
26namespace QuantLib {
27
28 //! returns the biased estimate obtained while regressing
29 /* TODO document:
30 n exercises, n+1 elements in simulationData
31 simulationData[0][j] -> cashflows up to first exercise, j-th path
32 simulationData[i+1][j] -> i-th exercise, j-th path
33
34 simulationData[0][j].foo unused (unusable?) if foo != cumulatedCashFlows
35
36 basisCoefficients.size() = n
37 */
39 std::vector<std::vector<NodeData> >& simulationData,
40 std::vector<std::vector<Real> >& basisCoefficients);
41
42}
43
44
45#endif
46
QL_REAL Real
real number
Definition: types.hpp:50
Definition: any.hpp:35
Real genericLongstaffSchwartzRegression(std::vector< std::vector< NodeData > > &simulationData, std::vector< std::vector< Real > > &basisCoefficients)
returns the biased estimate obtained while regressing