Re: Question on PathGenerator

Posted by Ferdinando M. Ametrano-3 on
URL: http://quantlib.414.s1.nabble.com/Question-on-PathGenerator-tp3287p3291.html

Hi all

Luigi:
>>Who decides wether to do this refactoring?
>
>Nando and I.  In this case, I'm for refactoring so he better stop me
>quick if he disagrees :)
I agree with the refactoring.

>With regard to the second part of the refactoring, i.e., storing the
>asset values in the path---it might be harder to complete since it
>would affect a number of instruments and pricing engines and it should
>be done backward-compatibly.

it's not just backward-compatibility. Calculating the asset values even
when you don't need them it is a waste of exp() computations which is going
to slow down the simulation.

We need more flexibility about stimulating S or log S, about (not) storing
drift and diffusion separately, etc.

Any hint by the MC gurus out there would be appreciated :)

ciao -- Nando