Longstaff Schwartz LSM

[Lars Christensen-2]

Hi

 

Quantlib 0.3.6. should have an implementation of the Longstaff and Schwartz LSM method for american options. I am having trouble getting quantnet working complete on my system, but I really need to implement the LSM.

 

If possible would any one help my isolate which quantlib files (cpp, headers etc.) needed to perform the LSM, so I can create the LSM in an isolated project that does not rely on the entire quantlib library.

 

Sincearly Lars

 

Ps: Great credit to all you quantlib developers and contributors. You made an excellent work.

[Ferdinando M. Ametrano-3]

Hi Lars,

>Quantlib 0.3.6. should have an implementation of the Longstaff and
>Schwartz LSM method for american options. I am having trouble getting
>quantnet working complete on my system, but I really need to implement the
>LSM.
>If possible would any one help my isolate which quantlib files (cpp,
>headers etc.) needed to perform the LSM, so I can create the LSM in an
>isolated project that does not rely on the entire quantlib library.

I'm not the author of the LSM part, and I have not enough time currently to
investigate the issue. Anyway I guess it might be quite hard to isolate LSM
out of QuantLib.

Other .NET C# developers might help you...

ciao -- Nando