MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > Class Template Reference

### A free/open-source library for quantitative finance

Public Types | Public Member Functions | Protected Member Functions | Protected Attributes
MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S > Class Template Reference

Longstaff-Schwarz Monte Carlo engine for early exercise options. More...

`#include <ql/pricingengines/mclongstaffschwartzengine.hpp>`

Inheritance diagram for MCLongstaffSchwartzEngine< GenericEngine, MC, RNG, S >:
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List of all members.

## 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.

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

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