MonteCarlo alpha version.

Posted by Marco Marchioro-2 on Jan 17, 2001; 2:41pm
URL: http://quantlib.414.s1.nabble.com/Response-from-Geotechnical-Software-Services-tp1676p1677.html

Hi QuantLib people,
        I finished the first draft for the Monte Carlo tools. You will find the
related
files in the MonteCarlo folders. So far only the one dimensional tools are
available. Soon, but this time I don't want to give a schedule, I will add some
multidimensional tools.
The tools are in the QuantLib spirit of "if you know templates is better,
otherwise
you can do it anyway," therefore there are some typedef to define simple
defaults like,
for example, GaussianRandomGenerator.
The basic idea is that of a "sample generator" that have the following,
simple,
interface:

        SampleType next()  const; // Gives the next sample
        double weight() const; // Giving the weight of the last sample

where SampleType is the particular type of sample which for a random
generator is a double and for a path generator is a Path.

The sample accumulator used now is Statistics. However using RiskTool instead
it is possible to have a MonteCarlo method for other risk measure like VaR.

Two pricers were added as examples. McEuropeanPricer, that is very basic
and McAsianPricer that also implements a control variate.

I am available for questions. Let me know if you see a way to
improve the design.
        greetings,
                        Marco Marchioro.