#include "quant/american.hpp"
#include "quant/grid_utils.hpp"
#include <algorithm>
#include <array>
#include <cmath>
#include <cstdint>
#include <limits>
#include <random>
#include <stdexcept>
#include <vector>
#include <pcg_random.hpp>

Include dependency graph for american.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.

namespace	quant::american

Functions
Greeks	quant::american::greeks_psor_bump (PsorParams params, double rel_bump)

double	quant::american::price_binomial_crr (const Params &p, int steps)

LsmcResult	quant::american::price_lsmc (const LsmcParams &params)

PsorResult	quant::american::price_psor (const PsorParams &params)

Variable Documentation

◆ ata

double ata[4][4] {}

◆ atb

double atb[4] {}

◆ beta

std::array<double, 4> beta {}

◆ condition_number

double condition_number {0.0}

◆ success

bool success {false}