Bugs item #2091327, was opened at 2008-09-03 15:17
Message generated for change (Comment added) made by klausspanderen
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2091327&group_id=12740Please note that this message will contain a full copy of the comment thread,
including the initial issue submission, for this request,
not just the latest update.
Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Mustapha MARCHOUD (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,
[hidden email]
----------------------------------------------------------------------
Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-05 09:03
Message:
Logged In: YES
user_id=1587351
Originator: NO
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.
----------------------------------------------------------------------
You can respond by visiting:
https://sourceforge.net/tracker/?func=detail&atid=112740&aid=2091327&group_id=12740-------------------------------------------------------------------------
This SF.Net email is sponsored by the Moblin Your Move Developer's challenge
Build the coolest Linux based applications with Moblin SDK & win great prizes
Grand prize is a trip for two to an Open Source event anywhere in the world
http://moblin-contest.org/redirect.php?banner_id=100&url=/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
