Re: Question on PathGenerator

Posted by ML-21 on
URL: http://quantlib.414.s1.nabble.com/Question-on-PathGenerator-tp3287p3293.html

> - at (2) we'd like to store asset values, but we don't want to
>   calculate them needlessly. TimeGrid comes to the rescue: it has the
>   possibility to specify that some time points are mandatory stops,
>   while others are just intermediate steps.

As a newbie to QuantLib and hence at the risk of making an unreasonable
suggestion: what about defining a new "Epoch" class, which is basically the
same as the "Time" class, but augmented by a bitfield "Attributes"? The
individual bits in this bitfield would specify things like "mandatory time",
"save asset price", etc. In "TimeGrid" the std::vector<Time> would have to
be replaced by std::vector<Epoch>. Sorry if my idea is not really helpful.

-Mario