Hi,
I've checked in what I have so far for American Basket options. The
tests in test-suite/basketoption.cpp are not called, as the results are
not accurate enough at the moment. Uncomment the tests if you want to have
a go running the algorithm.
There are a number of things that need tidying up and refactoring:
1) I have to generate the full asset path from the drifts and diffusions.
I think this should really be a function available from pathgenerator.hpp
or multipathgenerator.hpp
2) I need to do a discount a cashflow from times t to s with
0 < s < t < T. There doesn't appear to be the relevant method on the
DiscountStructure. Am I missing something?
3) The BasisFunctions need more thought, and they should be in the Math
directory. How can they be kept pluggable and made fast. Also I haven't
thought through the memory management.
4) It should be possible to plug in an alternate SVD implementation, as
most research papers comment that LSMC is very sensitive to the quality of
the SVD implementation. This may be part of the reason why I am not
getting good convergence.
Neil
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Neil Firth
Brasenose College Oxford OX1 4AJ United Kingdom
Office: 01865 280616
[hidden email]
http://www.maths.ox.ac.uk/~firth---------------------------------------------------
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