Is there any existing way for returning multiple values from
a MonteCarlo simulation? I can’t see a way for any of the existing
pricing engines.
By this, I mean being able to calculate many different
values for each MC path (e.g. price, leg 1 value, leg 2 value, dv01 etc) and
As far as I can see, I’d have to:
Define a different traits (mctraits.hpp) struct which used a
PathPricer<path_type, VECTOR return type>.
Use a GenericSequenceStatistics<GaussianStatistics> class
(instead of a GenericRiskStatistics<GaussianStatistics> class).
Then either
a) Define
arithmetic operations for the VECTOR return type or
b) Write parts
of MonteCarloModel specialised (via class template) for the particular traits
class.
Would this be correct?
Thanks,
Simon
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