piwheels

longstaff-schwartz

A Python implementation of the Longstaff-Schwartz linear regression algorithm for the evaluation of call rights and American options.

Installation

In a virtualenv (see these instructions if you need to create one):

pip3 install longstaff-schwartz

Dependencies

• matplotlib
• click
• numpy
• scipy
• jupyterlab

Releases

Version	Released	Bookworm Python 3.11	Trixie Python 3.13	Files
0.2.0	2022-11-10
longstaff_schwartz-0.2.0-py2.py3-none-any.whl (9 KB)
0.1.1	2020-12-01
longstaff_schwartz-0.1.1-py2.py3-none-any.whl (9 KB)
0.1.0	2019-10-03
longstaff_schwartz-0.1.0-py2.py3-none-any.whl (8 KB)

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