MC Paths

[luigi.vignola]

Dear all

I'm a Newbie in QuantLib. In order to use it for the pricing of a
structured product (a kind of Altiplano structure), I'm interested in
the generation of $n$ paths of correlated Brownian Motions, say given
a known covariance matrix (or corr and vol).

Is anybody willing to share some piece of code and maybe some thoughts
on that?

Thank you in advance!

/Luigi

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[Luigi Ballabio-2]

At 07:29 AM 4/10/03 +0200, [hidden email] wrote:
>Dear all
>
>I'm a Newbie in QuantLib. In order to use it for the pricing of a
>structured product (a kind of Altiplano structure), I'm interested in
>the generation of $n$ paths of correlated Brownian Motions, say given
>a known covariance matrix (or corr and vol).
>
>Is anybody willing to share some piece of code and maybe some thoughts
>on that?

Dear homonymous,
         I might have more time to answer later. But in the meantime, you
can have a look at ql/MonteCarlo/multipathgenerator.hpp --- it has all the
functionality you need, although documentation isn't really at par. Do feel
free to come back with any questions.

Later,
         Luigi