Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Followup-questions-on-MC-Bug-in-china-cpp-tp9242p9243.html
On Wed, 2007-02-28 at 01:08 -0600, Joseph Wang wrote:
> Thanks for the replies on the basket option pricing question. There is a
> followup question. What facilities does QuantLib have for creating
> coorelated monte-carlo paths for multi-asset options?
Hi Joe,
see ql/MonteCarlo/multipathgenerator.hpp. An example of an engine using
it is in ql/PricingEngines/Basket/mcbasketengine.hpp which can be used
with the basket option in ql/Instruments/basketoption.hpp.
Later,
Luigi
----------------------------------------
No, I'm not interested in developing a powerful brain. All I'm after
is just a mediocre brain, something like the president of American
Telephone and Telegraph Company.
-- Alan Turing on the possibilities of a thinking machine, 1943.
-------------------------------------------------------------------------
Take Surveys. Earn Cash. Influence the Future of IT
Join SourceForge.net's Techsay panel and you'll get the chance to share your
opinions on IT & business topics through brief surveys-and earn cash
http://www.techsay.com/default.php?page=join.php&p=sourceforge&CID=DEVDEV_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev