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

[Ben W. <ben...@ma...>]

Thanks Luigi,


I think we will use a mix of Qantlib and python for this one.


Warm Regards



*Ben Watson, *CEO

*Maroon Analytics Australia*

Tel: +61 410 474 984

www.maroonanalytics.com

*your edge on complexity*

On Wed, 16 July 2025, 12:30 am Luigi Ballabio, <lui...@gm...>
wrote:

> 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
>>
>