On Thu, 2009-09-03 at 19:58 +0200, Marcin Pawlik wrote:
> 2009/9/3 Ralf M. <
[hidden email]>:
> > Is there an example (C++) for simulating the price of an equity
> > over a specified number of fixed intervalls,
> > for example using 15 second intervalls ?
> >
> > Which ingredients (classes etc.) of quantlib would I need?
>
> Start with these two:
> ql/processes/blackscholesprocess.hpp
> ql/methods/montecarlo/pathgenerator.hpp
You can also look at the DiscreteHedging example to see how to set up a
Black-Scholes process with constant risk-free rate, dividend yield and
volatility, and how to pass it to a path generator. Once you have
something like myPathGenerator in the example, you can call its next()
method to generate sample paths. Write back here if you need more
details.
Luigi
--
The Feynman Problem Solving Algorithm:
1) Write down the problem.
2) Think very hard.
3) Write down the solution.
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