Hi Jason,
please go ahead and provide a patch, your contribution would be welcome.
btw are you sure you would own the copyright to your code? would you
be able to get a disclaimer from your employer allowing you to
contribute to QuantLib?
Yes, you got it, the domain in your email address struck me as much as
your likelihood proposal :-)
ciao -- Nando
On 3/27/06,
[hidden email] <
[hidden email]> wrote:
>
> Hi there, I'm looking to add an MC engine with Greeks using the Likelihood
> ratio, and from my explorations of the code so far, the best place to add
> the first variate, is to store it in the Path class (which is the biggest
> issue I want to get confirmation on) , so that it's easily accessible with
> custom MC engines and allows the ability to retrofit the Greeks enhancement
> to existing MC engines.
> I'd add a simple MC pricer with the whole Greeks method implemented as an
> example for future implementations etc..
> Thoughts?
>
> Regards,
> Jason
>
>
Locked
