Posted by
Kakhkhor Abdijalilov on
URL: http://quantlib.414.s1.nabble.com/questions-about-pricing-American-Option-in-MC-method-tp8081p8082.html
The payoff function always included into the basis system, even into
monomial system. Yes, including the payoff might improve the accuracy.
Even if the effect negligible, it doesn't hurt anything. Any
collinearity in the basis is taken care off by SVD.
Note to the developers:
I was looking into the file longstaffschwartzpathpricer.hpp and
noticed that moving vectors x and out of the for loop will avoid
re-allocation.
//--------------Original Code -----
for (Size i=len-2; i>0; --i) {
std::vector<Real> y;
std::vector<StateType> x;
//------------Replace with this ----
std::vector<Real> y;
std::vector<StateType> x;
for (Size i=len-2; i>0; --i) {
y.clear();
x.clear();
//---------------------------------------
------------------------------------------------------------------------------
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