On Wed, 2010-10-27 at 08:01 +0100, Paolo wrote:
> I saw an exemple on himalaya equity basket into experimental folder
> and it fits my needs but I would like to add a new list of dates into
> the mc simulation and on this list of dates make some operations such
> as pay a coupon or something like that. Could you give me some clue
> about how modify the files himalayaoption mchimalayaengine to add
> these features.
First, you should pass the list of coupon dates and the coupon rates to
the HimalayaOption class. You should also add corresponding data
members to HimalayaOption::arguments and set them in setupArguments().
As for the engine, you should:
- modify MCHimalayaEngine::timeGrid() method so that it uses both the
fixing dates and the coupon dates;
- modify HimalayaMultiPathPricer so that it takes the coupon rates, and
possibly some kind of vector of booleans that tells which dates are
fixing dates and which are coupon dates; also modify
MCHimalayaEngine::pathPricer() so that it passes the new arguments to
the path pricer it builds;
- modify HimalayaMultiPathPricer::operator() so that it uses the coupon
information.
Luigi
--
The first thing we do, let's kill all the lawyers.
-- W. Shakespeare, "King Henry VI, Part II"
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