Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/PathPricer-and-Likelihood-ratio-tp5275p5276.html
Hi,
apologies for the delay---I was working to make sure Santa could bring
you QuantLib 0.9.0...
On Fri, 2007-11-30 at 10:13 -0800, Yomi wrote:
> 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:
I'm not much familiar with likelihood ratio, so I don't know if this is
possible in your case, but you might try and calculate the weight in a
custom-written path generator instead. It would have access to the
underlying random numbers, and could return the likelihood ratio as the
weight of the returned Sample<Path>. Do you think this could be
arranged?
Later,
Luigi
--
feature, n:
A surprising property of a program. Occasionally documented.
To call a property a feature sometimes means the author did not
consider that case, and the program makes an unexpected, though
not necessarily wrong response. See BUG. "That's not a bug,
it's a feature!" A bug can be changed to a feature by
documenting it.
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