Re: [Quantlib-users] [Quantlib-dev] Bermudan LLM

[Kakhkhor A. <kab...@gm...>]

Longstaff-Schwartz method for Bermudan LLM requires OLS for every
early exercise opportunity, not just once.
I checked "Numerical recipes", Demel's and Golub's books and all
recommend not to use normal equations to solve OLS. Equity version of
Longstaff-Schwartz in QuantLib uses SVD too.

The cost of SVD scales as SAMPLES*FACTORS^3, but the cost of path
generation scales as SAMPLES*FACTORS^2. SVD doesn't scale well as more
CPU cores are used, but path generation should scale almost perfectly.

Regards,
Kakhkhor Abdijalilov.