Re: Path valuation issue

Posted by Neil P Firth on
URL: http://quantlib.414.s1.nabble.com/Path-valuation-issue-tp2906p2911.html

Hi,

> Yes, I see that the current Path implementation is not fully
> satisfactory---to put it mildly :) This also applies to your earlier
> question about modeling the log value of the underlying.
>
To me it is most intuitive to model the actual (risk-neutral) value of the
asset being simulated. Then, as you suggest the path would contain the
values along the path, which would be nice ;) However, if we are not
storing the drifts and variations, then we need to be able to store the
antithetic path as well. This would give a pair of Paths, or pair of
MultiPaths.

Another complication is the fact that there are DiffusionProcess and
StochasticProcess classes. I'm not clear why there are two classes, or
what the plan is for refactoring. Luigi?

Neil