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Importance Sampling

Posted by andrea.odetti on May 20, 2002; 11:35am
URL: http://quantlib.414.s1.nabble.com/Importance-Sampling-tp2069.html

Hi guys,

I'm tring to introduce importance sampling into the MonteCarlo Framework of
QuantLib but I have some problems.

I think a good place to work is the class
RandomNumbers::RandomArrayGenerator where in the method next() I can change
the value of next_weight, but:

1) I would like to know the value of the Brownian Motion that is the value
of sqrtCovariance_ * next_.value (but without the DT into the
sqrtCovaraince)

2) I don't know the value of the sum of all weight until the end of the
simulation.

Actually, I'm using the Girsanov Theorem to change the drift of my process,
but I should multiply the payoff for each path by (in the case of a single
asset, with only one step in time)

exp(-h * W(T) - 0.5 * h^2 * T)

is there anybody who has an idea, about where i should work?

bye bye

andrea