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longstaffschwartzpathpricer.hpp File Reference


Detailed Description

Longstaff-Schwarz path pricer for early exercise options.

Definition in file longstaffschwartzpathpricer.hpp.

#include <ql/termstructures/yieldtermstructure.hpp>
#include <ql/math/functional.hpp>
#include <ql/math/linearleastsquaresregression.hpp>
#include <ql/methods/montecarlo/pathpricer.hpp>
#include <ql/methods/montecarlo/earlyexercisepathpricer.hpp>
#include <boost/bind.hpp>
#include <boost/function.hpp>

Go to the source code of this file.

Namespaces

namespace  QuantLib

Classes

class  QuantLib::LongstaffSchwartzPathPricer< PathType >
 Longstaff-Schwarz path pricer for early exercise options. More...


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