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

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

On Fri, 2010-12-03 at 15:57 +0000, Simon Ibbotson wrote:
> 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.

Right, I overlooked those.  Hmm.  As far as I see,
MonteCarloModel::addSamples would work if one used Array as the result
type (it has algebra, and SequenceStatistics:add takes any container
regardless of what it uses internally.)   I don't see the calculations
in McSimulation::value(), apart from the call to maxError that should
work on any container.  Does the thing work if you use just use Array as
the result type, without other modifications?

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