Re: [Quantlib-users] Bermudian pricing with Longstaff-Schwartz

[Luigi B. <lui...@gm...>]

Hello Ben,
    there are a few classes that can be used to build a simulation (I'd
say MCLongstaffSchwartzEngine and LongstaffSchwartzPathPricer) but they're
in C++, not in Python, and I'm not sure if they can be exported as they're
templates and their type would depend on the simulation you're building.
The Hull-White process is available in Python instead.

Luigi


On Wed, Jul 9, 2025 at 9:44 AM Ben Watson <ben...@ma...>
wrote:

> Hi,
>
> We have the need to implement bermudian puttable bonds, where the bonds
> are resettable. So leaning towards a MC process and thinking about the
> early exit problem. Does Quantlib have the Longstaff-Schwartz American MC
> process implemented in a way we could use it with a Hull and White 1F MC as
> an example?
>
> If so, would that be in the Quantlib Python release?
>
> If not, are there other models that could be used in this use case?
>
> Warm Regards
>
>
>
> *Ben Watson, *CEO
>
> *Maroon Analytics Australia*
>
> Tel: +61 410 474 984
>
> www.maroonanalytics.com
>
> *your edge on complexity*
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>