multipathgenerator.hpp

[Ferdinando M. Ametrano-3]

Hi all

line 122 and 128 of multipathgenerator.hpp: sqrt_dt is defined and assigned
a value but it is never
used. Should I be worried?

Sorry I don't have time enough to read and understand the full code now...

ciao -- Nando

===========================

template <class SG>
inline const typename MultiPathGenerator<SG>::sample_type&
MultiPathGenerator<SG>::next() const {
     typedef typename SG::sample_type sequence_type;
     const sequence_type& sequence_ = generator_.nextSequence();

     Array asset(numAssets_);
     Array temp(numAssets_);
     next_.weight = sequence_.weight;

     for (Size j = 0; j < numAssets_; j++) {
         asset[j] = diffusionProcs_[j]->x0();
     }

     TimeGrid timeGrid = next_.value[0].timeGrid();
     double dt;
     double sqrt_dt;
     Time t;
     for (Size i = 0; i < next_.value[0].size(); i++) {
         Size offset = i*numAssets_;
         t = timeGrid[i+1];
         dt = timeGrid.dt(i);
         sqrt_dt = QL_SQRT(dt);
         std::copy(sequence_.value.begin()+offset,
                   sequence_.value.begin()+offset+numAssets_,
                   temp.begin());

         temp = sqrtCorrelation_ * temp;

         for (Size j=0; j<numAssets_; j++) {
             next_.value[j].drift()[i] = dt * diffusionProcs_[j]->drift(t,
asset[j]);
             next_.value[j].diffusion()[i] = - temp[j] *
                QL_SQRT(diffusionProcs_[j]->variance(t, asset[j], dt));
             asset[j] *= QL_EXP(next_.value[j].drift()[i] +
                 next_.value[j].diffusion()[i]);
         }
     }

     return next_;
}