QuantLib_MCLongstaffSchwartzEngine (3) - Linux Manuals

QuantLib_MCLongstaffSchwartzEngine: Longstaff-Schwarz Monte Carlo engine for early exercise options.


QuantLib::MCLongstaffSchwartzEngine - Longstaff-Schwarz Monte Carlo engine for early exercise options.


#include <ql/pricingengines/mclongstaffschwartzengine.hpp>

Inherits QuantLib::GenericEngine, and McSimulation< MC, RNG, S >.

Public Types

typedef MC< RNG >::path_type path_type

typedef McSimulation< MC, RNG, S >::stats_type stats_type

typedef McSimulation< MC, RNG, S >::path_pricer_type path_pricer_type

typedef McSimulation< MC, RNG, S >::path_generator_type path_generator_type

Public Member Functions

MCLongstaffSchwartzEngine (const boost::shared_ptr< StochasticProcess > &process, Size timeSteps, Size timeStepsPerYear, bool brownianBridge, bool antitheticVariate, bool controlVariate, Size requiredSamples, Real requiredTolerance, Size maxSamples, BigNatural seed, Size nCalibrationSamples=Null< Size >())

void calculate () const

Protected Member Functions

virtual boost::shared_ptr< LongstaffSchwartzPathPricer< path_type > > lsmPathPricer () const =0

TimeGrid timeGrid () const

boost::shared_ptr< path_pricer_type > pathPricer () const

boost::shared_ptr< path_generator_type > pathGenerator () const

Protected Attributes

boost::shared_ptr< StochasticProcess > process_

const Size timeSteps_

const Size timeStepsPerYear_

const bool brownianBridge_

const Size requiredSamples_

const Real requiredTolerance_

const Size maxSamples_

const Size seed_

const Size nCalibrationSamples_

boost::shared_ptr< LongstaffSchwartzPathPricer< path_type > > pathPricer_

Detailed Description

template<class GenericEngine, template< class > class MC, class RNG, class S = Statistics> class QuantLib::MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >

Longstaff-Schwarz Monte Carlo engine for early exercise options.


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


the correctness of the returned value is tested by reproducing results available in web/literature


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