Monte Carlo Method with Confidence Interval.

[cypanic]

Hi all,
I'm working on an example file, equityOption.cpp. It has some monte carlo simulations. I would like to get confidence intervals, when I do the monte carlo simulations. Is there any way to calculate the confidence interval using Quantlib? If you have any suggestion, please let me know.
Thanks.

[Luigi Ballabio]

On Sat, 2007-09-22 at 02:45 -0700, cypanic wrote:
> Hi all,
> I'm working on an example file, equityOption.cpp. It has some monte carlo
> simulations. I would like to get confidence intervals, when I do the monte
> carlo simulations. Is there any way to calculate the confidence interval
> using Quantlib? If you have any suggestion, please let me know.

option.errorEstimate() should give you the standard error of the
returned NPV.

Luigi



--

Within C++, there is a much smaller and cleaner language struggling to
get out.
-- Bjarne Stroustrup



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