quant::american Namespace Reference

Classes
struct	Greeks
struct	LsmcDiagnostics
struct	LsmcParams
struct	LsmcResult
struct	Params
struct	PsorParams
struct	PsorResult

Functions
Greeks	greeks_psor_bump (PsorParams params, double rel_bump)
double	price_binomial_crr (const Params &p, int steps)
LsmcResult	price_lsmc (const LsmcParams &params)
PsorResult	price_psor (const PsorParams &params)

Function Documentation

greeks_psor_bump()

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

price_binomial_crr()

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

price_lsmc()

LsmcResult quant::american::price_lsmc

(

const LsmcParams &

params

)

price_psor()

PsorResult quant::american::price_psor

(

const PsorParams &

params

)