TermStructure model pricing via MonteCarlo

[Toyin Akin-3]

Hi all,

 

Again full marks to Sad on his TermStructure work...

I'm following your progress like a hawk.

 

It would be good if a MonteCarlo pricing/calibration routine was also implemented.

 

It would aid in users intuition as a lot can be gained just by following one pricing path

rather than rolling back down a tree and at every node applying probabilities.

(and as you know, path dependant products)

 

Anyway, I must not disturb you, you shouldn't waste time reading my comments...!!

 

Toy.

 

[Ferdinando M. Ametrano-2]

Toyin Akin wrote:
>Again full marks to Sad on his TermStructure work...
I've been told he got 6/6 on his work ;-)
Congrats Sad!

ciao -- Nando