Class LongstaffSchwartzExerciseStrategy

Hierarchy

ExerciseStrategy
- LongstaffSchwartzExerciseStrategy

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new LongstaffSchwartzExerciseStrategy(basisSystem: MarketModelBasisSystem, basisCoefficients: Real[][], evolution: EvolutionDescription, numeraires: Size[], exercise: MarketModelExerciseValue, control: MarketModelExerciseValue): LongstaffSchwartzExerciseStrategy

- Defined in ql/models/marketmodels/callability/lsstrategy.ts:20
Parameters
- basisSystem: MarketModelBasisSystem
- basisCoefficients: Real[][]
- evolution: EvolutionDescription
- numeraires: Size[]
- exercise: MarketModelExerciseValue
- control: MarketModelExerciseValue
Returns LongstaffSchwartzExerciseStrategy

Properties

Private _basisCoefficients

_basisCoefficients: Real[][]

Private _basisSystem

_basisSystem: MarketModelBasisSystem

Private _basisValues

_basisValues: Real[][]

Private _control

_control: MarketModelExerciseValue

Private _controlDiscounters

_controlDiscounters: MarketModelDiscounter[]

Private _currentIndex

_currentIndex: Size

Private _exercise

_exercise: MarketModelExerciseValue

Private _exerciseIndex

_exerciseIndex: Size[]

Private _exerciseTimes

_exerciseTimes: Time[]

Private _isBasisTime

_isBasisTime: boolean[]

Private _isControlTime

_isControlTime: boolean[]

Private _isExerciseTime

_isExerciseTime: boolean[]

Private _isRebateTime

_isRebateTime: boolean[]

Private _newPrincipal

_newPrincipal: Real

Private _numeraires

_numeraires: Size[]

Private _principalInNumerairePortfolio

_principalInNumerairePortfolio: Real

Private _rebateDiscounters

_rebateDiscounters: MarketModelDiscounter[]

Private _relevantTimes

_relevantTimes: Time[]

Methods

clone

clone(): ExerciseStrategy

Overrides ExerciseStrategy.clone
- Defined in ql/models/marketmodels/callability/lsstrategy.ts:148
Returns ExerciseStrategy

exercise

exercise(currentState: CurveState): boolean

Overrides ExerciseStrategy.exercise
- Defined in ql/models/marketmodels/callability/lsstrategy.ts:93
Parameters
- currentState: CurveState
Returns boolean

exerciseTimes

exerciseTimes(): Time[]

Overrides ExerciseStrategy.exerciseTimes
- Defined in ql/models/marketmodels/callability/lsstrategy.ts:85
Returns Time[]

nextStep

nextStep(currentState: CurveState): void

Overrides ExerciseStrategy.nextStep
- Defined in ql/models/marketmodels/callability/lsstrategy.ts:117
Parameters
- currentState: CurveState
Returns void

relevantTimes

relevantTimes(): Time[]

Overrides ExerciseStrategy.relevantTimes
- Defined in ql/models/marketmodels/callability/lsstrategy.ts:89
Returns Time[]

reset

reset(): void

Overrides ExerciseStrategy.reset
- Defined in ql/models/marketmodels/callability/lsstrategy.ts:140
Returns void