[Quantlib-dev] [ quantlib-Bugs-2091327 ] Legendre basis system is missing

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Bugs item #2091327, was opened at 2008-09-03 15:17
Message generated for change (Comment added) made by klausspanderen
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Mustapha MARCHOUD (marcmus)
Assigned to: Nobody/Anonymous (nobody)
Summary: Legendre basis system is missing

Initial Comment:
The Legendre polynomial as basis system is missing in the Monte Carlo American engine even if its implementation was provided.

Suggested solution : 
Add the test for Legendre basis system in the QL_REQUIRE statement inside the constrcutor  AmericanPathPricer::AmericanPathPricer (file : MCAmericanEngine.cpp)

Best regards,

ma...@gm...



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Comment By: Klaus Spanderen (klausspanderen)
Date: 2008-09-05 09:03

Message:
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Legendre polynomials are orthogonal polynomials, for which the interval of
orthogonality is [1, 1] and the weight function is simply 1.You have to
make sure that the state function AmercicanPathPricer::state is tied to
this interval (which it isn't;-). Therefore I've removed the Legendre
polynomials.

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You can respond by visiting: 
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