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

[Luigi B. <lui...@gm...>]

On Wed, 2010-11-24 at 10:46 +0000, Simon Ibbotson wrote:
> 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.

No, existing ones don't do that.


> 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).

True and true.


> 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.

No, I don't think you need to do that.  SequenceStatistics doesn't do
statistics on the passed vectors as such, it just maintains a set of 1-D
statistics.  This part should just work.

Let me know how it goes,
	Luigi


-- 

Better to have an approximate answer to the right question than a 
precise answer to the wrong question. 
-- John Tukey as quoted by John Chambers