MC Paths

Posted by luigi.vignola on Apr 09, 2003; 11:31pm
URL: http://quantlib.414.s1.nabble.com/MC-Paths-tp2457.html

Dear all

I'm a Newbie in QuantLib. In order to use it for the pricing of a
structured product (a kind of Altiplano structure), I'm interested in
the generation of $n$ paths of correlated Brownian Motions, say given
a known covariance matrix (or corr and vol).

Is anybody willing to share some piece of code and maybe some thoughts
on that?

Thank you in advance!

/Luigi

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