Re: Monte Carlo path generator

Posted by deriv on
URL: http://quantlib.414.s1.nabble.com/Monte-Carlo-path-generator-tp6759p6763.html

Luigi, another question:
how many steps the MC simulation generates? Till the maturity of the contract? I mean, is there a timesteps variable inside the code with value equal to 1 day (for example) so that each new simulated value is 1 day forward from today to maturity day (I'm looking at the MC routine used by the Rainbow Barrier Memory Bond class)?
If there are some fixing dates between today and maturity date at which some barrier event is going to be checked, am I able to understand from the code which date is it?

Pierluigi

Luigi Ballabio wrote

On Thu, 2010-07-01 at 07:10 -0700, deriv wrote:
> can you tell me the classed and methods where the simulated prices are
> generated?

PathGenerator and MultiPathGenerator, in particular the next() method.

Luigi


--

There are two ways to write error-free programs; only the third one
works.
-- unknown



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