Re: [Quantlib-dev] Update version of experimental/mcbasket

[Klaus S. <kl...@sp...>]

Hi

can you do me a favour and send me your ql/experimental/mcbasket directory as 
a tar-ball? (the diff doesn't work out on my machine here.).

thanks

Klaus 

On Monday 09 November 2009 14:34:24 Andrea wrote:
> On 11/10/09 19:46, Andrea wrote:
> > 1) it currently skips all paths that give a non positive exercise value.
> > this because it assumes the continuation value will always be positive,
> > and there is no point to accept a negative exercise. it might not be the
> > case always and it is hard to dynamically detect this lower bound (0.0).
> > so the payoff has a function to return the lower bound of the
> > continuation value or -INF if absent
>
> It is actually possible to dynamically detect what an out of the money
> option is. Since we go backward, we just remember what the lowest payoff
> is, and never exercise if the early termination value is less or equal to
> that value.
>
> In this updated version of the mcbasket experimental patch, I've
> implemented it. In my (simple) tests it worked properly.