protected override LongstaffSchwartzPathPricer <IPath> lsmPathPricer()
{
GeneralizedBlackScholesProcess process = process_ as GeneralizedBlackScholesProcess;
Utils.QL_REQUIRE(process != null, () => "generalized Black-Scholes process required");
EarlyExercise exercise = arguments_.exercise as EarlyExercise;
Utils.QL_REQUIRE(exercise != null, () => "wrong exercise given");
Utils.QL_REQUIRE(!exercise.payoffAtExpiry(), () => "payoff at expiry not handled");
AmericanPathPricer earlyExercisePathPricer = new AmericanPathPricer(arguments_.payoff, polynomOrder_, polynomType_);
return(new LongstaffSchwartzPathPricer <IPath>(timeGrid(), earlyExercisePathPricer, process.riskFreeRate()));
}
protected override LongstaffSchwartzPathPricer <IPath> lsmPathPricer()
{
GeneralizedBlackScholesProcess process = process_ as GeneralizedBlackScholesProcess;
if (process == null)
{
throw new Exception("generalized Black-Scholes process required");
}
EarlyExercise exercise = arguments_.exercise as EarlyExercise;
if (exercise == null)
{
throw new Exception("wrong exercise given");
}
if (exercise.payoffAtExpiry())
{
throw new Exception("payoff at expiry not handled");
}
AmericanPathPricer earlyExercisePathPricer = new AmericanPathPricer(arguments_.payoff, polynomOrder_, polynomType_);
return(new LongstaffSchwartzPathPricer <IPath>(timeGrid(), earlyExercisePathPricer, process.riskFreeRate()));
}
