Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Monte-Carlo-path-generator-tp6759p6760.html
On Thu, 2010-07-01 at 06:17 -0700, deriv wrote:
> Hy everybody, I'm trying to understand where the Monte Carlo method in
> QuantLib stores the simulated prices. I need to take them to plot all the
> simulated time series.
It doesn't store them---paths are generated, passed to the path pricer
to yield a price, and discarded (see the MonteCarloModel::addSamples
method.) if you want a one-off solution, insert some print statement in
the implementation of the PathPricer instance you're using. For a
long-term solution, you'd have to modify the MonteCarloModel class.
Luigi
--
Newton's Law of Gravitation:
What goes up must come down. But don't expect it to come down
where you can find it. Murphy's Law applies to Newton's.
------------------------------------------------------------------------------
This SF.net email is sponsored by Sprint
What will you do first with EVO, the first 4G phone?
Visit sprint.com/first --
http://p.sf.net/sfu/sprint-com-first_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users