Here is the project, there are a few extension modules we sell on top. Also happy to help with integration / building proprietary extensions. Feel free to contact me if of any interest.

<t>look in the test suite for american option pricing, there is an (equity) example; there are also lots of examples in the market model tests (but they are actually using different classes for LS); and there will be more, I am sure, maybe just grep McLongstaffSchwartzEngine or LongstaffSchwartzPath...

here is one pointer

<t>Very interesting. I'd be interested in how you derive a continuous smile from the 5 given points +-25D, +-10D and ATM, I suppose there is some model fitted in between (sorry if I missed this in the paper). And if so, how much detail of the implied density is really coming from the market data and...

What is the intuition for the reversion speed in the Dodgson-Kainth Inflation Model? What are typical values occuring in the wild?

<t>Not sure if I got the question, but if you have different Forwards from different providers for some reason (different timestamps, different underlying curve constructions) I would map each vol quote to ATM + spread, where ATM is the forward level from the same provider. After that you can work w...

<t>You want to multiply [$]\sigma(t)[$] with a mixture of a constant and [$]L(t)[$] to produce something between a flat smile and a skew. Since the scale does not matter, [$]\alpha L(0) + (1-\alpha) L(t)[$] is a clever choice because this factor is always in the order of magnitude of the Libor rate ...

<t>QuoteOriginally posted by: CuchulainnQuoteperfect precision There is no such thing as perfect precision in (numerical) mathematics. Accuracy is a polynomial function of dt based on continuity of the unknown exact solution. Which is what @list has also said, when I look at it. Is convergence monot...

<t>at least for the major currencies there are quotes for fixed strikes like 1%, 2%, ... (or nowadays -1%, -0.5%, 0%, 0.5% ...), which can be used for bootstrapping; you can then place the atm caplets in between those fixed strikes and interpolate in strike direction for bootstrapping from the atm f...

that's great, thanks Billy7, I will look at it when there is some free time again for it

<r>Yes, thanks a lot again. I can rerun with more paths, Sobol sequences + Brownian bridges, a richer basis, but as you say, it won't be very insightful. Concerning the regression I am even thinking if it might be useful to have two regions with a separate calibration. But for the time being the glo...

<t>Actually I did not really notice up to ten minutes ago, but from the plain pricing I had the condition in my code that only ITM paths are taken into account in the regression. This seems to break the new call pricing, in cases where the new call is deep ITM, the put OTM, and the put continuation ...

<t>Here are my updated results (16384 calibration paths, 65536 pricing paths, both MT, basis 1,x,x^2), they look better.Dividend = 0.06 Put = 0.371782 NewCall = 0.369788Dividend = 0.05 Put = 0.35782 NewCall = 0.356191Dividend = 0.04 Put = 0.344102 NewCall = 0.343301Dividend = 0.03 Put = 0.330794 New...

no, it's still on my side, the newcall prices for negative q are way to low, let me check the code again ... sorry ...

<t>What I seem to observe -- for an american "newcall" [$]c(q)[$] and an american put [$]p(q)[$] -- is that [$]c(q) > p(q)[$] for all [$]q[$] and [$]c(q) \rightarrow p(q)[$] for [$]q \rightarrow \infty[$], if the exercise grid is a continuum.If the newcall would be exercisable at [$]t=0[$] (it is ac...