Return more info from American Montecarlo

[andrea-110]

Hi,

I would like to return more information from a run of the LS American Montecarlo.
For instance, the probability of exercise at each exercise time.

This information is generated inside

    template <class PathType> inline
    Real LongstaffSchwartzPathPricer<PathType>::operator()
        (const PathType& path) const {


What I could do is to change the ValueType template argument of the PathPricer (default to Real) and
make it a more complicated structure.

Is there an example of something similar?


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[Luigi Ballabio]

On Mon, 2010-03-15 at 12:27 +0000, Andrea wrote:

> I would like to return more information from a run of the LS American
> Montecarlo. For instance, the probability of exercise at each exercise
> time.
>
> [...]
>
> What I could do is to change the ValueType template argument of the
> PathPricer (default to Real) and make it a more complicated structure.
>
> Is there an example of something similar?

No, I'm afraid not.

Luigi


--

Do the right thing. It will gratify some people and astonish the rest.
-- Mark Twain



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