Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Returning-multiple-values-from-a-Monte-Carlo-pricing-engine-tp9175p9176.html
On Wed, 2010-11-24 at 10:46 +0000, Simon Ibbotson wrote:
> 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.
No, existing ones don't do that.
> 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).
True and true.
> 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.
No, I don't think you need to do that. SequenceStatistics doesn't do
statistics on the passed vectors as such, it just maintains a set of 1-D
statistics. This part should just work.
Let me know how it goes,
Luigi
--
Better to have an approximate answer to the right question than a
precise answer to the wrong question.
-- John Tukey as quoted by John Chambers
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