Re: [Quantlib-users] Longstaff Schwartz LSM

[Ferdinando A. <na...@am...>]

Hi Lars,

>Quantlib 0.3.6. should have an implementation of the Longstaff and 
>Schwartz LSM method for american options. I am having trouble getting 
>quantnet working complete on my system, but I really need to implement the 
>LSM.
>If possible would any one help my isolate which quantlib files (cpp, 
>headers etc.) needed to perform the LSM, so I can create the LSM in an 
>isolated project that does not rely on the entire quantlib library.

I'm not the author of the LSM part, and I have not enough time currently to 
investigate the issue. Anyway I guess it might be quite hard to isolate LSM 
out of QuantLib.

Other .NET C# developers might help you...

ciao -- Nando