quant::american::LsmcParams Struct Reference

#include <american.hpp>

Collaboration diagram for quant::american::LsmcParams:

Public Attributes
bool	antithetic {true}
Params	base
double	itm_moneyness_eps {0.0}
std::size_t	min_itm {32}
std::uint64_t	num_paths
int	num_steps
double	ridge_lambda {0.0}
std::uint64_t	seed

Member Data Documentation

antithetic

bool quant::american::LsmcParams::antithetic {true}

base

Params quant::american::LsmcParams::base

itm_moneyness_eps

double quant::american::LsmcParams::itm_moneyness_eps {0.0}

min_itm

std::size_t quant::american::LsmcParams::min_itm {32}

num_paths

std::uint64_t quant::american::LsmcParams::num_paths

num_steps

int quant::american::LsmcParams::num_steps

ridge_lambda

double quant::american::LsmcParams::ridge_lambda {0.0}

seed

std::uint64_t quant::american::LsmcParams::seed

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The documentation for this struct was generated from the following file:

• include/quant/american.hpp