QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
ql
methods
montecarlo
genericlsregression.hpp
Go to the documentation of this file.
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
24
#include <
ql/methods/montecarlo/nodedata.hpp
>
25
26
namespace
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
*/
38
Real
genericLongstaffSchwartzRegression
(
39
std::vector<std::vector<NodeData> >& simulationData,
40
std::vector<std::vector<Real> >& basisCoefficients);
41
42
}
43
44
45
#endif
46
QuantLib::Real
QL_REAL Real
real number
Definition:
types.hpp:50
QuantLib
Definition:
any.hpp:35
QuantLib::genericLongstaffSchwartzRegression
Real genericLongstaffSchwartzRegression(std::vector< std::vector< NodeData > > &simulationData, std::vector< std::vector< Real > > &basisCoefficients)
returns the biased estimate obtained while regressing
Definition:
genericlsregression.cpp:26
nodedata.hpp
Generated by
Doxygen
1.9.5