Last updated: 2023-03-16.

Module: tf_quant_finance.experimental.lsm_algorithm

View source

LSM algorithm methods.

Functions

least_square_mc(...): Values Amercian style options using the LSM algorithm.

least_square_mc_v2(...): Values Amercian style options using the LSM algorithm.

make_basket_put_payoff(...): Produces a callable from samples to payoff of a simple basket put option.

make_polynomial_basis(...): Produces a callable from samples to polynomial basis for use in regression.

make_polynomial_basis_v2(...): Produces a callable from samples to polynomial basis for use in regression.