Followup questions on MC / Bug in china.cpp

[Joseph Wang-2]

Thanks for the replies on the basket option pricing question.  There is a
followup question.  What facilities does QuantLib have for creating
coorelated monte-carlo paths for multi-asset options?  I'm wondering if there
is something in the libor market-model code that is usable for this.

Also, if there is someone out there that wants an easy project to fix the
libraries.  Calendar/china.cpp needs to be fixed to take into account the
fact that the Lunar New Year is a week long festival (which is why the the
market drop yesterday was as sharp as it was).  The code fix is easy.  
Getting data on when the holidays where historically is more difficult.

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Joseph Wang Ph.D. - [hidden email]  
China Derivatives Researcher and Software Developer - QuantLib
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[Luigi Ballabio]

On Wed, 2007-02-28 at 01:08 -0600, Joseph Wang wrote:
> Thanks for the replies on the basket option pricing question.  There is a
> followup question.  What facilities does QuantLib have for creating
> coorelated monte-carlo paths for multi-asset options?

Hi Joe,
        see ql/MonteCarlo/multipathgenerator.hpp. An example of an engine using
it is in ql/PricingEngines/Basket/mcbasketengine.hpp which can be used
with the basket option in ql/Instruments/basketoption.hpp.

Later,
        Luigi


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