Question on GeometricBrownianMotionProcess

Posted by Samuel Quinodoz on
URL: http://quantlib.414.s1.nabble.com/Question-on-GeometricBrownianMotionProcess-tp376.html

Dear QuantLib-users,

 

I have started using QuantLib around three weeks ago, so my question is maybe a bit basic, but I can’t find a reasonable answer by myself.

 

I want to use a GeometricBrownianMotionProcess to simulate paths for a Monte Carlo simulation. However, I could not get correct answers so I decided to compare the paths obtained with this class and those obtained with the more general BlackScholesMertonProcess. Again, I could not get the same answers (from the same realizations of the random generator).

 

I had a deeper look in the code (and in the documentation) and I can see that the evolve method is the way to construct paths (from MultiPathGenerator) from a process. Then, I get lost in the evolve method of the GeometricBrownianMotionProcess class. Where is the exponential function hidden? I can’t understand why this evolve corresponds to the geometric Brownian motion. Is there a transformation to apply after having called evolve?

 

All the answers are highly appreciated!

 

Best regards,

 

Samuel Quinodoz

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