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

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

Unfortunately not; McSimulation::value() instantiates a result_type
(i.e. an Array) from a vector<double> obtained from the
sampleAccumulator at several points (also in ::valueWithSamples()).

Therefore, Array would need a new constructor either:

1) explicit Array(const std::vector<Real>&); or

2) template<class container> explicit Array(const container&,
container::value_type redundant = 0); or

3) template <class T> explicit Array(const T&); plus specialisations for
T=Array and T=Size etc.

The first works only with a STL vector.
The second one allows all STL containers but is opaque because of the
redundant second parameter (required to specialise only for STL
containers).
The third means that the existing constructors are duplicated (or
removed entirely).

Which would you recommend?

Simon


-----Original Message-----
From: Luigi Ballabio [mailto:lui...@gm...] 
Sent: 09 December 2010 11:29
To: Simon Ibbotson
Cc: qua...@li...
Subject: RE: [Quantlib-dev] Returning multiple values from a Monte-Carlo
pricing engine

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 





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