Re: gaussianorthogonalpolynomial.cpp : double to bool conversion and possible problem on x64 targets

Posted by Kakhkhor Abdijalilov on Aug 12, 2010; 8:33am
URL: http://quantlib.414.s1.nabble.com/gaussianorthogonalpolynomial-cpp-double-to-bool-conversion-and-possible-problem-on-x64-targets-tp13296p13298.html

They are hardwired into Longstaff-Schwartz pricing engine. I am coding
my own LS method and using QL for sanity check.

Btw, can anyone explain why LS path pricer does calibration and
pricing separately? Current implementation simply discards all paths
used for calibration. It is not only wasteful, but also doesn't agree
with Longstaff and Schwartz recipe. The proper way to do LS is to use
all path both for calibration and pricing. EquityOption.cpp example
uses only 4096 paths for calibration and tries to price with
tolerance=0.02. I think 4096 samples are not adequate to achieve such
a small tolerance. Any thoughts?

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