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Hi All
Recently days, I am to price the daily range accrual with early terminatin clause, since it is pathdependent with bermudan feature,
it should be priced using the Least Square MonteCarlo, but unfortunately I found that the quantlib file for least square method only applies to
stock derivatives, not IR derivatives. Am I right?
Is there anyone can tell me how to implement the coding for IR derivatives using the Least Square method?
Thx a lot
Best
Le
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