Monte Carlo grid and time consumption

Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/Monte-Carlo-grid-and-time-consumption-tp1540.html

Hi,

I have added a monte carlo engine to price a kind of autocall note.
Roughly it has some call dates (bermudans) at which you redeem the note if the spot is above the strike.

I have a trouble with both the grid generation and the computing time.
Let's imagine I have a 1 year note, which may redeem at 3M, 6M, 9M and 1Y.
I have 4 dates, so I put 4 time step in my MC engine.
Most of the time, I will get an exception saying the grid is inadequate since my node do not fall on a call date. The only way to solve it is to increase the number of time steps, but generally it does not work unless I put 365 steps (1Y).

How to solve the issue?

the second question is linked to the first one.
If I put 365 time steps, the computing is really really long (more than 20 minutes).
How could I speed it up? Is there any trick or things to avoid?

Cheers