Re: [Quantlib-users] Least Squares Monte Carlo

Posted by Luigi Ballabio-2 on Jul 25, 2003; 11:18am
URL: http://quantlib.414.s1.nabble.com/Re-Quantlib-users-Least-Squares-Monte-Carlo-tp10300.html

At 04:48 PM 7/24/03 +0100, Neil P Firth wrote:
>Finally, the Binomial PricingEngines don't give me the correct price.
>Presumably I haven't set them up correctly, but I can't see what's wrong.

Neil,
         I fixed the binomial engine---they give the correct price now in
your example. Also, I've added the number of time steps as an input to your
least-square engine. The changes are on the branch.

The remaining problem is, the least-square engine might be leaky, or at
least a memory hog---on my Windows box the example runs with 200000
samples, but on my Linux laptop it fails with bad allocation with as few as
10000. Do you have any idea where all the memory could go?

Bye,
         Luigi


P.S. I have a few more data which might get you on track.

5000 samples, 3 time steps:   runs
10000 samples, 3 time steps:  not enough memory
5000 samples, 100 time steps: runs happily.

Which seems to suggest that the memory used depends more on the first
parameter...