Re: [Quantlib-dev] Hold your horses... Bermudan pricing / MCAmericanBasketEngine / LSMC!

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/RE-Quantlib-dev-RE-R-Credit-default-pricing-G2-model-tp4114p4116.html

On 10/10/2005 05:02:31 PM, Toyin Akin wrote:
>
> One of the reasons why I was looking at this class is that  
> theorectically the logic enables you to perform American/Bermudan  
> pricing within a montecarlo framework via the LSMC method
> (Least Squares Monte carlo).

Yes---but I think the code should be heavily optimized.

> However as the QuantLib code stands, I don't know if there is an easy  
> way to simply produce random paths of rates that follows one of the  
> Interest rate stochastic models.
>
> I know that the MonteCarlo code caters for classes within the  
> processes directory, but I'm not too sure about the classes within  
> the ShortRateModels folder.

Given a OneFactorModel instance, model->dynamics()->process() gives you  
the process followed by the underlying state variable. It should be  
possible to pass it to the Monte Carlo framework. The same applies  
(with a few more methods to call) to TwoFactorModel.

Later,
        Luigi

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