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

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

The problem is that MonteCarloModel::addSamples(Size samples) does some
simple arithmetic operations on the result_type. Also,
McSimulation::value() and McSimulation::calculate() do some other simple
operations.
In the short-term, I've fully specialised the addSamples() function and
defined some arithmetic operations for std::vector<double>.

In the long-term, I'd prefer a cleaner solution.

I'd suggest making GenericSequenceStatistics into a double template
class - GenericRiskStatistics<GaussianStatistics,template <class> class
TVector = std::vector> and create a specific TVector class for
MonteCarlo simulations.

What do you think?

Simon


> 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





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