[Quantlib-dev] new MonteCarlo::PathGenerator2

[Ferdinando A. <na...@qu...>]

Hi all

I've just committed a new path generator MonteCarlo::PathGenerator2. I 
named it with the trailing 2 in the hope to allow it to live together with 
the old MonteCarlo::PathGenerator.

The new one is based on Sad's TimeGrid class to handle the time 
discretization and Sad's DiffusionProcess class to actually generate paths. 
Since the Black Scholes DiffusionProcess is now time/asset dependant the 
new PathGenerator is also time/asset dependant.

Unfortunately when the diffusion process is asset dependant we cannot 
calculate the antithetic path in the path pricer anymore, since the drift 
component is not common between a path and its antithetic one anymore. The 
antithetic path must be calculated by the PathGenerator itself.

This means that all the current PathPricers are wrong when the drift 
process is asset dependant, and I'm going to remove the antithetic 
calculation from all PathPricer in favour of the new MonteCarlo Pricing Engine.

Then of course, I would also like to remove the old PathGenerator.

I look forward to your feedback

ciao -- Nando