[Quantlib-dev] Returning multiple values from a Monte-Carlo pricing engine

[Simon I. <Sim...@fs...>]

Is there any existing way for returning multiple values from a
MonteCarlo simulation? I can't see a way for any of the existing pricing
engines.

 

By this, I mean being able to calculate many different values for each
MC path (e.g. price, leg 1 value, leg 2 value, dv01 etc) and 

 

As far as I can see, I'd have to:

 

Define a different traits (mctraits.hpp) struct which used a
PathPricer<path_type, VECTOR return type>.

Use a GenericSequenceStatistics<GaussianStatistics> class (instead of a
GenericRiskStatistics<GaussianStatistics> class).

 

Then either

 

a)       Define arithmetic operations for the VECTOR return type or

b)       Write parts of MonteCarloModel specialised (via class template)
for the particular traits class.

 

 

Would this be correct?

 

Thanks,

Simon

 




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