Return more info from American Montecarlo
Posted by
andrea-110 on
URL: http://quantlib.414.s1.nabble.com/Return-more-info-from-American-Montecarlo-tp13419.html
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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