Pricing American options using Quantlib

In the previous recipe, we showed how to manually code the Longstaff-Schwartz algorithm. However, we can also use already existing frameworks for valuation of derivatives. One of the most popular ones is QuantLib. It is an open source C++ library that provides tools for the valuation of financial instruments. By using Simplified Wrapper and Interface Generator (SWIG), it is possible to use QuantLib from Python (and some other programming languages, such as R or Julia). In this recipe, we show how to price the same American put option that we priced in the Pricing American options with Least squares Monte Carlo recipe, but the library itself has many more interesting features to explore.

How to do it...

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