Re: basket multi path generator

Posted by Kim Kuen Tang on
URL: http://quantlib.414.s1.nabble.com/basket-multi-path-generator-tp6853p6854.html

Hi Geonhak,

the class MultiPathGenerator in the file
ql\methods\montecarlo\multipathgenerator.hpp
will help you to define the monte carlo path generator. You must of
course feed him with the correct stochastic process. If you want to see
this class in action study the file pathgenerator in the test-suite:
test-suite\pathgenerator.cpp. It also includes an example for simulating
an n dimensional stochastic process.

HTH
Kim Tang


Geonhak Lee schrieb:

> Hello everyone,
>
> I'm trying to code basket(2 stocks) path generator using MC.
> Is it alreay implemented in Quantlib?
> All I found is for 1-D or for no correlation.
>
> Regards,
> Geonhak. Lee
>
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