PathPricer and Likelihood ratio

Posted by Lapin on
URL: http://quantlib.414.s1.nabble.com/PathPricer-and-Likelihood-ratio-tp5275.html

Hi,

I would like to add some likelihood ratio method to my MC pricer.
This should be done by calculating a weight for each path.
I have the following questions and I am looking for guidance:

1- for each path I need the first random number used to calculate the path. How can I retrieve it in the path pricer? As far as I know, we can retrieve the value of the underlying at each point but not the random variable.

2- the pathpricer class returns a real which is the value of the path. I need in this case to use this value for each path and to weigths it with my likelihood ratio. Then I need to sum them up and then take the mean to get my greek. Where should I put the code for it? Any recommendation? Would it be better to put it directly in the McSimulation class, extending this class to support likelihood ratio?


Cheers