Longstaff-Schwarz Monte Carlo engine for early exercise options. More...
#include <ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp>
Inheritance diagram for MCLongstaffSchwartzPathEngine< GenericEngine, 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 Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Types inherited from McSimulation< MC, RNG, S > | |
| typedef MonteCarloModel< MC, RNG, S >::path_generator_type | path_generator_type |
| typedef MonteCarloModel< MC, RNG, S >::path_pricer_type | path_pricer_type |
| typedef MonteCarloModel< MC, RNG, S >::stats_type | stats_type |
| typedef MonteCarloModel< MC, RNG, S >::result_type | result_type |
Public Member Functions | |
| MCLongstaffSchwartzPathEngine (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 |
Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from McSimulation< MC, RNG, S > | |
| result_type | value (Real tolerance, Size maxSamples=QL_MAX_INTEGER, Size minSamples=1023) const |
| add samples until the required absolute tolerance is reached | |
| result_type | valueWithSamples (Size samples) const |
| simulate a fixed number of samples | |
| result_type | errorEstimate () const |
| error estimated using the samples simulated so far | |
| const stats_type & | sampleAccumulator (void) const |
| access to the sample accumulator for richer statistics | |
| void | calculate (Real requiredTolerance, Size requiredSamples, Size maxSamples) const |
| basic calculate method provided to inherited pricing engines | |
Protected Member Functions | |
| virtual boost::shared_ptr< LongstaffSchwartzMultiPathPricer > | lsmPathPricer () const =0 |
| TimeGrid | timeGrid () const |
| boost::shared_ptr< path_pricer_type > | pathPricer () const |
| boost::shared_ptr< path_generator_type > | pathGenerator () const |
Protected Member Functions inherited from McSimulation< MC, RNG, S > | |
| McSimulation (bool antitheticVariate, bool controlVariate) | |
| virtual boost::shared_ptr< path_pricer_type > | controlPathPricer () const |
| virtual boost::shared_ptr< path_generator_type > | controlPathGenerator () const |
| virtual boost::shared_ptr< PricingEngine > | controlPricingEngine () const |
| virtual result_type | controlVariateValue () 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< LongstaffSchwartzMultiPathPricer > | pathPricer_ |
Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType > | |
| ArgumentsType | arguments_ |
| ResultsType | results_ |
Protected Attributes inherited from McSimulation< MC, RNG, S > | |
| boost::shared_ptr< MonteCarloModel< MC, RNG, S > > | mcModel_ |
| bool | antitheticVariate_ |
| bool | controlVariate_ |
Additional Inherited Members | |
Static Protected Member Functions inherited from McSimulation< MC, RNG, S > | |
| template<class Sequence > | |
| static Real | maxError (const Sequence &sequence) |
| static Real | maxError (Real error) |
Longstaff-Schwarz Monte Carlo engine 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