Hi,
I've trying to integrate the LS early exercise in the framework of the experimental mcbasket.
I've noticed that EarlyExercisePathPricer takes 3 template arguments
template<class PathType,
class TimeType=Size, class ValueType=Real>
class EarlyExercisePathPricer {
(the one I am interested in is ValueType)
But in all places where it is used (LongstaffSchwartzPathPricer & MCLongstaffSchwartzEngine)
only the first template argument is exposed.
Now I would like to use this argument, since my payoff returns an array of payments (at different
times), so to set it to Array.
As anybody ever used the LS framework with options that pay more than once?
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