[Quantlib-dev] Monte Carlo

[ANIMESH S. <ani...@gm...>]

GenericMonteCarlo.zip

https://docs.google.com/leaf?id=0Bz-6k70uEtu7Y2Y4MWQxZDAtN2U0NC00ZmVjLTllMGYtYTIxMzdiMWI5MzMy&hl=e


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



(http://quantanalysis.wordpress.com)