Hi all,
this was originally addressed to the list, but for some reason
the postman refused to deliver it...
On 2003.11.06 17:39,
[hidden email] wrote:
Hi guys,
I would like to price an option in a very general MonteCarlo
framework. I can see that the DiffusionProcess class is for a ONE
dimensional process, so I think I will write a new MultiPathGenerator
taking as input arguments a vector of functions for drifts and a matrix
of function as diffusions, but I can't understand why in the "path" I
store the drifts and diffusions and not the values of my processes
(which I must compute in a "PathPricer"), because I will need that
values to compute the actual drifts and diffusions and I would compute
them twice (as in PathGenerator).
bye,
Andrea
Locked
