Likelihood Ratio for MC

Posted by Jason.Clarke on
URL: http://quantlib.414.s1.nabble.com/Likelihood-Ratio-for-MC-tp11041.html


Hi there, I'm looking to add an MC engine with Greeks using the Likelihood ratio, and from my explorations of the code so far, the best place to add the first variate, is to store it in the Path class (which is the biggest issue I want to get confirmation on) , so that it's easily accessible with custom MC engines and allows the ability to retrofit the Greeks enhancement to existing MC engines.
I'd add a simple MC pricer with the whole Greeks method implemented as an example for future implementations etc..
Thoughts?

Regards,
Jason