Last updated: 2023-03-16.

Module: tf_quant_finance.models.longstaff_schwartz

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LSM algorithm methods.

Functions

least_square_mc(...): 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.