Re: Monte Carlo grid and time consumption

Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/Monte-Carlo-grid-and-time-consumption-tp1540p1542.html

Luigi,

I have given a quick look at the doc.
It does not seem to be a constructor taking a std::vector<Time>, does it?
Perhaps my version is outdated, I am using 0.8.1.

If needed I will write it and try to send the code to you for integration.

Regards

Luigi Ballabio wrote

On Tue, 2007-11-06 at 00:38 -0800, Yomi wrote:
> 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.

You're probably generating the time grid with four equally-spaced steps.
Instead, you need to calculate a vector of node times beforehand and
pass it to the TimeGrid constructor.

Luigi


--

Dealing with failure is easy: work hard to improve. Success is also
easy to handle: you've solved the wrong problem. Work hard to improve.
-- Alan Perlis



-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2005.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
_______________________________________________
QuantLib-users mailing list
[e-mail]
https://lists.sourceforge.net/lists/listinfo/quantlib-users