Posted by
Luigi Ballabio on
Jun 02, 2007; 9:51pm
URL: http://quantlib.414.s1.nabble.com/Help-with-generating-correlated-multipath-tp9533p9534.html
On May 29, 2007, at 5:46 PM, Apollo Wong wrote:
> In version 0.3.4 I can use the
> QuantLib::MonteCarlo::MultipathGenerator(&drifts, &covariance,
> timelength, timestep, sggenerator) to do the job
>
> How do I do the same in version 0.4.0?
Hi Apollo,
apologies for the delay. In 0.4.0 and above, the covariance
information--or rather the correlation--must be included in the
StochasticProcess passed to the generator. If you have N correlated
processes, you can create a StochasticProcessArray as
boost::shared_ptr<StochasticProcess> processArray(
new StochasticProcessArray(processes, correlation));
and the multi-path generator as
MultiPathGenerator mpg(processArray, TimeGrid(timelength, timesteps),
gsgenerator);
after which mpg.next() will give you a correlated multipath for the
underlyings. Note that unlike in previous versions (in which the
multipath contained the variations between nodes) the multipath will
contain the actual values of the underlying at the different nodes.
Hope this helps,
Luigi
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