Hi all
I got no feedback to the message below. I'm going to assume that I can
remove the antithetic calculation from all PathPricer in favour of the new
MonteCarlo PathGenerator2.
Should I also assume that I can remove the old PathGenerator?
There will be a severe hit on performances, that will be solved in the
medium term using the visitor pattern to make PathGenerator2 smarter.
ciao -- Nando
>Date: Thu, 06 Mar 2003 16:29:18 +0100
>To: QuantLib-dev <
[hidden email]>
>From: Ferdinando Ametrano <
[hidden email]>
>Subject: new MonteCarlo::PathGenerator2
>
>Hi all
>
>I've just committed a new path generator MonteCarlo::PathGenerator2. I
>named it with the trailing 2 in the hope to allow it to live together with
>the old MonteCarlo::PathGenerator.
>
>The new one is based on Sad's TimeGrid class to handle the time
>discretization and Sad's DiffusionProcess class to actually generate
>paths. Since the Black Scholes DiffusionProcess is now time/asset
>dependant the new PathGenerator is also time/asset dependant.
>
>Unfortunately when the diffusion process is asset dependant we cannot
>calculate the antithetic path in the path pricer anymore, since the drift
>component is not common between a path and its antithetic one anymore. The
>antithetic path must be calculated by the PathGenerator itself.
>
>This means that all the current PathPricers are wrong when the drift
>process is asset dependant, and I'm going to remove the antithetic
>calculation from all PathPricer in favour of the new MonteCarlo Pricing Engine.
>
>Then of course, I would also like to remove the old PathGenerator.
>
>I look forward to your feedback
>
>ciao -- Nando
>
Locked
