Monte Carlo
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GenericMonteCarlo.zip
Hi, I had been work on a monte carlo design (with Stochastic Volatility - Heston Model). My basic idea was to allow almost any exotic structure to be priced (well 90% of them) using stochastic volatility coz GeneralizedBlackScholes process is not practically useful. I designed this from a trader / quants perspective. The design is very poor - I Admit!
I have tried to generalize the heston process, and using what I call hooks (different exotic payoffs) the process will price them. The process generates the paths, (cholesky decomposition used to generate correlated random numbers). Halton sequence used for fast convergence. The hook just uses the process to get the paths generated and updates the payoff. So any new exotic structure added will just need a new hook.
As of now I have skipped the discounting portion, and is purely used by me for personal trading. I do the discounting manually using HJM later. I would like some suggestions from anyone who wants to take try this. Maybe with lots of changes to design this methodology can be put into QuantLib. This will help in solving the tight coupling of engines and process issue.
Link is a google doc to attached code (zip file). It's in Mac (XCode) gui, but well can be compiled on any platform easily. (No dependencies on Boost etc) Thanks for your time,
Animesh ------------------------------------------------------------------------------ Start uncovering the many advantages of virtual appliances and start using them to simplify application deployment and accelerate your shift to cloud computing. http://p.sf.net/sfu/novell-sfdev2dev _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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On 20/09/10 10:36, ANIMESH SAXENA wrote:
> Hi, > I had been work on a monte carlo design (with Stochastic Volatility - > Heston Model). My basic idea was to allow almost any exotic structure to > be priced (well 90% of them) using stochastic volatility coz > GeneralizedBlackScholes process is not practically useful. I designed > this from a trader / quants perspective. The design is very poor - I Admit! > > I have tried to generalize the heston process, and using what I call > hooks (different exotic payoffs) the process will price them. The > process generates the paths, (cholesky decomposition used to generate > correlated random numbers). Halton sequence used for fast convergence. > The hook just uses the process to get the paths generated and updates > the payoff. So any new exotic structure added will just need a new hook. > As of now I have skipped the discounting portion, and is purely used by > me for personal trading. I do the discounting manually using HJM later. Interesting. I think I need to dive deeper into your code. > > I would like some suggestions from anyone who wants to take try this. > Maybe with lots of changes to design this methodology can be put into > QuantLib. This will help in solving the tight coupling of engines and > process issue. I did try to solve a similar problem. Decoupling engine and products and I contributed the folder "mcbasket" under ql\experimental. I have to admit that it only works for a GeneralizedBlackScholes but it is super easy to add new payoffs. Basically what you call Hook, there is called PathMultiAssetOption (this deals with the dates) and PathPayoff (the actual payoff formula). > > Link is a google doc to attached code (zip file). It's in Mac (XCode) > gui, but well can be compiled on any platform easily. (No dependencies > on Boost etc) > > Thanks for your time, Same here Andrea ------------------------------------------------------------------------------ Download new Adobe(R) Flash(R) Builder(TM) 4 The new Adobe(R) Flex(R) 4 and Flash(R) Builder(TM) 4 (formerly Flex(R) Builder(TM)) enable the development of rich applications that run across multiple browsers and platforms. Download your free trials today! http://p.sf.net/sfu/adobe-dev2dev _______________________________________________ QuantLib-dev mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-dev |
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