Longstaff-Schwarz path pricer for early exercise options. More...
#include <ql/termstructures/yieldtermstructure.hpp>#include <ql/math/functional.hpp>#include <ql/math/generallinearleastsquares.hpp>#include <ql/methods/montecarlo/pathpricer.hpp>#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>#include <boost/bind.hpp>#include <boost/function.hpp>
Classes | |
| class | LongstaffSchwartzPathPricer< PathType > |
| Longstaff-Schwarz path pricer for early exercise options. More... | |
Longstaff-Schwarz path pricer for early exercise options.