MCLongstaffSchwartzEngine

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

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

Hierarchy

GenericEngineMcSimulation
- MCLongstaffSchwartzEngine
  - MCAmericanBasketEngine
  - MCAmericanEngine

Implements

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MCLongstaffSchwartzEngine(GenericEngine: PricingEngine, MC: mc_traits, RNG: rng_traits, S?: any, RNG_Calibration?: rng_traits): MCLongstaffSchwartzEngine

- Defined in ql/pricingengines/mclongstaffschwartzengine.ts:40
Parameters
- GenericEngine: PricingEngine
- MC: mc_traits
- RNG: rng_traits
- Default value S: any = new RiskStatistics()
- Default value RNG_Calibration: rng_traits = RNG
Returns MCLongstaffSchwartzEngine

Properties

MC

MC: mc_traits

RNG

RNG: rng_traits

RNG_Calibration

RNG_Calibration: rng_traits

S

S: any

_antitheticVariate

_antitheticVariate: boolean

_antitheticVariateCalibration

_antitheticVariateCalibration: boolean

_arguments

_arguments: Arguments

_brownianBridge

_brownianBridge: boolean

_brownianBridgeCalibration

_brownianBridgeCalibration: boolean

_controlVariate

_controlVariate: boolean

_isDisposed

_isDisposed: boolean = false

_maxSamples

_maxSamples: Size

_mcModel

_mcModel: MonteCarloModel

_mcModelCalibration

_mcModelCalibration: MonteCarloModel

_nCalibrationSamples

_nCalibrationSamples: Size

_observables

_observables: Set<Observable> = new Set()

_observers

_observers: Set<Observer> = new Set()

_pathPricer

_pathPricer: LongstaffSchwartzPathPricer<Path | MultiPath>

_process

_process: StochasticProcess

_requiredSamples

_requiredSamples: Size

_requiredTolerance

_requiredTolerance: Real

_results

_results: Results

_seed

_seed: BigNatural

_seedCalibration

_seedCalibration: BigNatural

_timeSteps

_timeSteps: Size

_timeStepsPerYear

_timeStepsPerYear: Size

calculate1

calculate1: (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size) => void

Type declaration

- (requiredTolerance: Real, requiredSamples: Size, maxSamples: Size): void
- Parameters
  - requiredTolerance: Real
  - requiredSamples: Size
  - maxSamples: Size
  Returns void

controlPathGenerator

controlPathGenerator: () => PathGenerator

Type declaration

- (): PathGenerator
- Returns PathGenerator

deepUpdate

deepUpdate: () => void

Type declaration

- (): void
- Returns void

dispose

dispose: () => void

Type declaration

- (): void
- Returns void

errorEstimate

errorEstimate: () => Real

Type declaration

- (): Real
- Returns Real

getArguments

getArguments: () => Arguments

Type declaration

- (): Arguments
- Returns Arguments

getResults

getResults: () => Results

Type declaration

- (): Results
- Returns Results

isDisposed

isDisposed: boolean

mcsInit

mcsInit: (antitheticVariate: boolean, controlVariate: boolean) => McSimulation

Type declaration

- (antitheticVariate: boolean, controlVariate: boolean): McSimulation
- Parameters
  - antitheticVariate: boolean
  - controlVariate: boolean
  Returns McSimulation

notifyObservers

notifyObservers: () => void

Type declaration

- (): void
- Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

registerWith

registerWith: (h: Observable) => void

Type declaration

- (h: Observable): void
- Parameters
  - h: Observable
  Returns void

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

reset

reset: () => void

Type declaration

- (): void
- Returns void

sampleAccumulator

sampleAccumulator: () => RiskStatistics

Type declaration

- (): RiskStatistics
- Returns RiskStatistics

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

- (o: Observer): void
- Parameters
  - o: Observer
  Returns void

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

- (h: Observable): Size
- Parameters
  - h: Observable
  Returns Size

unregisterWithAll

unregisterWithAll: () => void

Type declaration

- (): void
- Returns void

update

update: () => void

Type declaration

- (): void
- Returns void

value

value: (tolerance: Real, maxSamples: Size, minSamples: Size) => Real

Type declaration

- (tolerance: Real, maxSamples: Size, minSamples: Size): Real
- Parameters
  - tolerance: Real
  - maxSamples: Size
  - minSamples: Size
  Returns Real

valueWithSamples

valueWithSamples: (samples: Size) => Real

Type declaration

- (samples: Size): Real
- Parameters
  - samples: Size
  Returns Real

Methods

calculate

calculate(): void

Overrides GenericEngineMcSimulation.calculate
- Defined in ql/pricingengines/mclongstaffschwartzengine.ts:146
Returns void

controlPathPricer

controlPathPricer(): PathPricer<Path | MultiPath>

Inherited from GenericEngineMcSimulation.controlPathPricer
- Defined in mixins/ql/pricingengines/genericenginemcsimulation.ts:63
Returns PathPricer<Path | MultiPath>

controlPricingEngine

controlPricingEngine(): PricingEngine

Inherited from GenericEngineMcSimulation.controlPricingEngine
- Defined in mixins/ql/pricingengines/genericenginemcsimulation.ts:67
Returns PricingEngine

controlVariateValue

controlVariateValue(): Real

Inherited from GenericEngineMcSimulation.controlVariateValue
- Defined in mixins/ql/pricingengines/genericenginemcsimulation.ts:70
Returns Real

lsmPathPricer

lsmPathPricer(): LongstaffSchwartzPathPricer<Path | MultiPath>

- Defined in ql/pricingengines/mclongstaffschwartzengine.ts:215
Returns LongstaffSchwartzPathPricer<Path | MultiPath>

mclseInit

mclseInit(process: StochasticProcess, timeSteps: Size, timeStepsPerYear: Size, brownianBridge: boolean, antitheticVariate: boolean, controlVariate: boolean, requiredSamples: Size, requiredTolerance: Real, maxSamples: Size, seed: BigNatural, nCalibrationSamples?: Size, brownianBridgeCalibration?: boolean, antitheticVariateCalibration?: boolean, seedCalibration?: BigNatural): MCLongstaffSchwartzEngine

- Defined in ql/pricingengines/mclongstaffschwartzengine.ts:71
Parameters
- process: StochasticProcess
- timeSteps: Size
- timeStepsPerYear: Size
- brownianBridge: boolean
- antitheticVariate: boolean
- controlVariate: boolean
- requiredSamples: Size
- requiredTolerance: Real
- maxSamples: Size
- seed: BigNatural
- Default value nCalibrationSamples: Size = QL_NULL_INTEGER
- Default value brownianBridgeCalibration: boolean = null
- Default value antitheticVariateCalibration: boolean = null
- Default value seedCalibration: BigNatural = QL_NULL_INTEGER
Returns MCLongstaffSchwartzEngine

pathGenerator

pathGenerator(): PathGenerator | MultiPathGenerator

Overrides GenericEngineMcSimulation.pathGenerator
- Defined in ql/pricingengines/mclongstaffschwartzengine.ts:128
Returns PathGenerator | MultiPathGenerator

pathPricer

pathPricer(): PathPricer<Path>

Overrides GenericEngineMcSimulation.pathPricer
- Defined in ql/pricingengines/mclongstaffschwartzengine.ts:121
Returns PathPricer<Path>

timeGrid

timeGrid(): TimeGrid

Overrides GenericEngineMcSimulation.timeGrid
- Defined in ql/pricingengines/mclongstaffschwartzengine.ts:189
Returns TimeGrid

Hierarchy

Implements

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

GenericEngine: PricingEngine

MC: mc_traits

RNG: rng_traits

Default value S: any = new RiskStatistics()

Default value RNG_Calibration: rng_traits = RNG

Returns MCLongstaffSchwartzEngine

Properties

MC

RNG

RNG_Calibration

S

_antitheticVariate

_antitheticVariateCalibration

_arguments

_brownianBridge

_brownianBridgeCalibration

_controlVariate

_isDisposed

_maxSamples

_mcModel

_mcModelCalibration

_nCalibrationSamples

_observables

_observers

_pathPricer

_process

_requiredSamples

_requiredTolerance

_results

_seed

_seedCalibration

_timeSteps

_timeStepsPerYear

calculate1

Type declaration

Parameters

requiredTolerance: Real

requiredSamples: Size

maxSamples: Size

Returns void

controlPathGenerator

Type declaration

Returns PathGenerator

deepUpdate

Type declaration

Returns void

dispose

Type declaration

Returns void

errorEstimate

Type declaration

Returns Real

getArguments

Type declaration

Returns Arguments

getResults

Type declaration

Returns Results

isDisposed

mcsInit

Type declaration

Parameters

antitheticVariate: boolean

controlVariate: boolean

Returns McSimulation

notifyObservers

Type declaration

Returns void

registerObserver

Type declaration

Parameters