basket multi path generator

[Geonhak Lee]

Hello everyone,

I'm trying to code basket(2 stocks) path generator using MC.
Is it alreay implemented in Quantlib?
All I found is for 1-D or for no correlation.

Regards,
Geonhak. Lee

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[aincze]

Hi,

you could have an idea from the following piece of code, where you can define
two correlated stochastic processes.

hope it helps you,
André



// Creation of 2 stocastic processes (BlackScholes)
std::vector<boost::shared_ptr<StochasticProcess1D> > processes(noAssets);
processes[0] = boost::shared_ptr<StochasticProcess1D>(
new
BlackScholesProcess(underlyingH1,flatDividendTS1,flatTermStructure1,flatVolTS1));
processes[1] = boost::shared_ptr<StochasticProcess1D>(
new
BlackScholesProcess(underlyingH2,flatDividendTS2,flatTermStructure2,flatVolTS2));


boost::shared_ptr<StochasticProcess> process =
boost::shared_ptr<StochasticProcess>(new StochasticProcessArray(processes,
indexStatistics.correlation()));


****

> Hello everyone,
>
> I'm trying to code basket(2 stocks) path generator using MC.
> Is it alreay implemented in Quantlib?
> All I found is for 1-D or for no correlation.
>
> Regards,
> Geonhak. Lee
>
> ------------------------------------------------------------------------------
> SF.Net email is Sponsored by MIX09, March 18-20, 2009 in Las Vegas, Nevada.
> The future of the web can't happen without you.  Join us at MIX09 to help
> pave the way to the Next Web now. Learn more and register at
> http://ad.doubleclick.net/clk;208669438;13503038;i?http://2009.visitmix.com/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>

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[Kim Kuen Tang]

Hi Geonhak,

the class MultiPathGenerator in the file
ql\methods\montecarlo\multipathgenerator.hpp
will help you to define the monte carlo path generator. You must of
course feed him with the correct stochastic process. If you want to see
this class in action study the file pathgenerator in the test-suite:
test-suite\pathgenerator.cpp. It also includes an example for simulating
an n dimensional stochastic process.

HTH
Kim Tang


Geonhak Lee schrieb:

> Hello everyone,
>
> I'm trying to code basket(2 stocks) path generator using MC.
> Is it alreay implemented in Quantlib?
> All I found is for 1-D or for no correlation.
>
> Regards,
> Geonhak. Lee
>
> ------------------------------------------------------------------------------
> SF.Net email is Sponsored by MIX09, March 18-20, 2009 in Las Vegas, Nevada.
> The future of the web can't happen without you.  Join us at MIX09 to help
> pave the way to the Next Web now. Learn more and register at
> http://ad.doubleclick.net/clk;208669438;13503038;i?http://2009.visitmix.com/
> _______________________________________________
> QuantLib-users mailing list
> [hidden email]
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>
>  

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