Longstaff_Schwarz

[Nicola Pede]

Hi everyone!
I have a doubt about the implementation of the Longstaff-Schwarz algorithm in 'longstaffschwarzpathpricer.hpp'.
What the calibrationPhase variable is stored for? Is it for future develompments/controls?
thank you all!

Nicola

--
"Su ciò di cui non si può parlare, si deve tacere."
L. Wittgenstein

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[Klaus Spanderen-2]

Hi Nicola,

the variable calibrationPhase is an internal state variable, which is used to
separate the calibration paths from the pricing paths. The first n paths
during the calibration paths are used to determine the early exercise
boundary.

regards
 Klaus

On Tuesday 29 July 2008 12:57:21 Nicola Pede wrote:
> Hi everyone!
> I have a doubt about the implementation of the Longstaff-Schwarz algorithm
> in 'longstaffschwarzpathpricer.hpp'.
> What the calibrationPhase variable is stored for? Is it for future
> develompments/controls?
> thank you all!
>
> Nicola

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[Nicola Pede]

Sorry for the question,
i was quite in a hurry, my fault...
i got it, it is the beginnign of the regression step, isn't it?

a presto
nicola

--
"Su ciò di cui non si può parlare, si deve tacere."
L. Wittgenstein

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