Re: QuantLib 1.2 Test Suite - Swaption Test Valiadtion Fails

Posted by Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Multiple-complilation-errors-QuantLibXL-1-1-tp650p656.html

I'd refer you to Mark Joshi's papers for those.  For instance,
<http://ssrn.com/abstract=907407> and
<http://ssrn.com/abstract=1768409>.

Mark, are you reading? Any other suggestion?

Luigi

On Wed, Mar 28, 2012 at 3:09 PM, Billy Ng <[hidden email]> wrote:
> Any comment on my other two questions on Market Model Example Code?
>
> 1. What is the Pathwise Greeks methodology used in the simulation?
> 2. What is that upper/inner bound calculation in the example code? What is outer paths and inner paths?

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