Re: Least Square Monte Carlo

Posted by Luigi Ballabio-2 on
URL: http://quantlib.414.s1.nabble.com/Least-Square-Monte-Carlo-tp2617p2618.html

At 12:51 PM 7/23/03 +0100, Neil P Firth wrote:
>I've done a first cut for a one dimensional least squares monte carlo
>implementation and have a few questions before checking anything in:

Great. It starts to looks like one hell of a release...

>1. I cannot see an implementation of the overloaded operator std::cout <<
>for the Matrix class. dataformatters.cpp has the overload for Array, but
>Matrix is in ql/Math/ leading to the unpleasant include ql/math/matrix.hpp
>Are there any other formatter utilities. Does anyone strongly object to
>checking it in as is?

No problem.

>2. To implement the Singular Value Decomposition (SVD) for the least
>squares I have adapted the TNT / JAMA library
>http://math.nist.gov/tnt/
>which is in the public domain. Any objections to checking this in?

How big that is?

>3. For the function abs() there is QL_FABS in qldefines.hpp. What is the
>recommend macro, etc for max and min?

QL_MAX and QL_MIN.


>4. I am going to add an AmericanOption example to the source tree.

Good.

Later,
         Luigi