TermStructure model pricing via MonteCarlo
Posted by
Toyin Akin-3 on
Mar 28, 2002; 11:43am
URL: http://quantlib.414.s1.nabble.com/TermStructure-model-pricing-via-MonteCarlo-tp1956.html
Hi all,
Again full marks to Sad on his TermStructure
work...
I'm following your progress like a
hawk.
It would be good if a MonteCarlo
pricing/calibration routine was also implemented.
It would aid in users intuition as a lot can be
gained just by following one pricing path
rather than rolling back down a tree and at every
node applying probabilities.
(and as you know, path dependant
products)
Anyway, I must not disturb you, you shouldn't
waste time reading my comments...!!
Toy.