genericlsregression.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2006 Mark Joshi
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
 
#ifndef quantlib_generic_longstaff_schwartz_hpp
#define quantlib_generic_longstaff_schwartz_hpp
 
#include <ql/methods/montecarlo/nodedata.hpp>
 
namespace QuantLib {
 
    /* TODO document:
       n exercises, n+1 elements in simulationData
       simulationData[0][j] -> cashflows up to first exercise, j-th path
       simulationData[i+1][j] -> i-th exercise, j-th path
 
       simulationData[0][j].foo unused (unusable?) if foo != cumulatedCashFlows
 
       basisCoefficients.size() = n
    */
    Real genericLongstaffSchwartzRegression(
        std::vector<std::vector<NodeData> >& simulationData,
        std::vector<std::vector<Real> >& basisCoefficients);
 
}
 
 
#endif