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lsmbasissystem.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2006 Klaus Spanderen

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file lsmbasissystem.hpp
    \brief utility classes for Longstaff-Schwartz early-exercise Monte Carlo
*/

#ifndef quantlib_lsm_basis_system_hpp
#define quantlib_lsm_basis_system_hpp

#include <ql/qldefines.hpp>
#include <ql/math/array.hpp>
#include <boost/function.hpp>
#include <vector>

namespace QuantLib {

    class LsmBasisSystem {
      public:
        enum PolynomType { Monomial, Laguerre, Hermite, Hyperbolic,
                           Legendre, Chebyshev, Chebyshev2th };

        static std::vector<boost::function1<Real, Real> >
            pathBasisSystem(Size order, PolynomType polynomType);

        static std::vector<boost::function1<Real, Array> >
            multiPathBasisSystem(Size dim, Size order,
                                 PolynomType polynomType);

      private:
        static std::vector<boost::function1<Real, Array> >
            w(Size dim, Size order, PolynomType polynomType,
              const std::vector<boost::function1<Real, Real> > & basis);
    };

}

#endif

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