Bugs item #2091327, was opened at 2008-09-03 17:17
Message generated for change (Settings changed) made by lballabio
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Category: None
Group: None
>Status: Closed
>Resolution: Rejected
Priority: 5
Private: No
Submitted By: marcmus (marcmus)
Assigned to: Nobody/Anonymous (nobody)
Summary: Legendre basis system is missing
Initial Comment:
The Legendre polynomial as basis system is missing in the Monte Carlo American engine even if its implementation was provided.
Suggested solution :
Add the test for Legendre basis system in the QL_REQUIRE statement inside the constrcutor AmericanPathPricer::AmericanPathPricer (file : MCAmericanEngine.cpp)
Best regards,
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Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-05 11:03
Message:
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Legendre polynomials are orthogonal polynomials, for which the interval of
orthogonality is [1, 1] and the weight function is simply 1.You have to
make sure that the state function AmercicanPathPricer::state is tied to
this interval (which it isn't;-). Therefore I've removed the Legendre
polynomials.
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