Monte Carlo
Posted by
animesh on
URL: http://quantlib.414.s1.nabble.com/Monte-Carlo-tp9567.html
GenericMonteCarlo.zip
Hi,
I had been work on a monte carlo design (with Stochastic Volatility - Heston Model). My basic idea was to allow almost any exotic structure to be priced (well 90% of them) using stochastic volatility coz GeneralizedBlackScholes process is not practically useful. I designed this from a trader / quants perspective. The design is very poor - I Admit!
I have tried to generalize the heston process, and using what I call hooks (different exotic payoffs) the process will price them. The process generates the paths, (cholesky decomposition used to generate correlated random numbers). Halton sequence used for fast convergence. The hook just uses the process to get the paths generated and updates the payoff. So any new exotic structure added will just need a new hook.
As of now I have skipped the discounting portion, and is purely used by me for personal trading. I do the discounting manually using HJM later.
I would like some suggestions from anyone who wants to take try this. Maybe with lots of changes to design this methodology can be put into QuantLib. This will help in solving the tight coupling of engines and process issue.
Link is a google doc to attached code (zip file). It's in Mac (XCode) gui, but well can be compiled on any platform easily. (No dependencies on Boost etc)
Thanks for your time,
Animesh
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