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External module "ql/methods/montecarlo/genericlsregression"

Index

Functions

genericLongstaffSchwartzRegression

  • genericLongstaffSchwartzRegression(simulationData: NodeData[][], basisCoefficients: Real[][]): Real
  • returns the biased estimate obtained while regressing

    TODO document: n exercises, n+1 elements in simulationData simulationData[0][j] -> cashflows up to first exercise, j-th path simulationData[i+1][j] -> i-th exercise, j-th path

    simulationData[0][j].foo unused (unusable?) if foo != cumulatedCashFlows

    basisCoefficients.size() = n

    Parameters

    Returns Real