Re: MC Paths

Posted by Luigi Ballabio-2 on Apr 10, 2003; 1:28am
URL: http://quantlib.414.s1.nabble.com/MC-Paths-tp2457p2458.html

At 07:29 AM 4/10/03 +0200, [hidden email] wrote:
>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?

Dear homonymous,
         I might have more time to answer later. But in the meantime, you
can have a look at ql/MonteCarlo/multipathgenerator.hpp --- it has all the
functionality you need, although documentation isn't really at par. Do feel
free to come back with any questions.

Later,
         Luigi