Posted by
Toyin Akin on
URL: http://quantlib.414.s1.nabble.com/RE-Quantlib-dev-RE-R-Credit-default-pricing-G2-model-tp4114p4117.html
Hi Luigi,
As I understand it, the state variable is not actually the short rate itself
and thus I suspect there may be intermediate steps involved in order to go
from this to the rate itself.
I've been looking at the MonteCarlo, Processes and the Shortratemodel
framework for the last 2 days now in order to determine the best way to
achieve this goal, but I haven't actually fully comprehended the
relationships between these classes.
Correlated paths may be an issue as well.
Do you think it would be possible to add an utility class (possibly with
static functions) that given a stochatic interest rate model, it can simply
generate an array of sample paths?
Or maybe provide a quick dirty example of how this can be done.
I know you are a busy guy...
Best Regards,
Toyin Akin.
>From: Luigi Ballabio <
[hidden email]>
>To: Toyin Akin <
[hidden email]>
>CC:
[hidden email],
>
[hidden email],
[hidden email]
>Subject: Re: [Quantlib-dev] Hold your horses... Bermudan pricing /
>MCAmericanBasketEngine / LSMC!
>Date: Mon, 10 Oct 2005 15:20:34 +0000
>
>
>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
>
>----------------------------------------
>
>This gubblick contains many nonsklarkish English flutzpahs, but the
>overall pluggandisp can be glorked from context.
>-- David Moser
>