On Fri, 2009-02-13 at 01:26 +0000,
[hidden email] wrote:
> I am interested to do a MC simulation of 3 month libor and
> Euro dollar exchange rate process jointly. Can anyone give suggestion
> on how to set this up using quantlib(any example)
There's not an engine ready for this, but you might try and put together
one from existing pieces. You'll have to define a joint process for
Libor and FX inheriting from StochasticProcess. After that, you can go
the full way and build an engine based on the McSimulation class, or you
can just use your process to instantiate a path generator and build an
instance of MonteCarloModel. You'll have to write a path pricer, too.
Luigi
--
When all else fails, pour a pint of Guinness in the gas tank,
advance the spark 20 degrees, cry "God Save the Queen!", and pull
the starter knob.
-- MG "Series MGA" Workshop Manual
------------------------------------------------------------------------------
Open Source Business Conference (OSBC), March 24-25, 2009, San Francisco, CA
-OSBC tackles the biggest issue in open source: Open Sourcing the Enterprise
-Strategies to boost innovation and cut costs with open source participation
-Receive a $600 discount off the registration fee with the source code: SFAD
http://p.sf.net/sfu/XcvMzF8H_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
