Re: basket multi path generator

Posted by aincze on
URL: http://quantlib.414.s1.nabble.com/basket-multi-path-generator-tp6853p6855.html

Hi,

you could have an idea from the following piece of code, where you can define
two correlated stochastic processes.

hope it helps you,
André



// Creation of 2 stocastic processes (BlackScholes)
std::vector<boost::shared_ptr<StochasticProcess1D> > processes(noAssets);
processes[0] = boost::shared_ptr<StochasticProcess1D>(
new
BlackScholesProcess(underlyingH1,flatDividendTS1,flatTermStructure1,flatVolTS1));
processes[1] = boost::shared_ptr<StochasticProcess1D>(
new
BlackScholesProcess(underlyingH2,flatDividendTS2,flatTermStructure2,flatVolTS2));


boost::shared_ptr<StochasticProcess> process =
boost::shared_ptr<StochasticProcess>(new StochasticProcessArray(processes,
indexStatistics.correlation()));


****

> 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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