Re: [Quantlib-dev] Hold your horses... Bermudan pricing / MCAmericanBasketEngine / LSMC!

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

On 10/10/2005 05:02:31 PM, Toyin Akin wrote:
>=20
> One of the reasons why I was looking at this class is that =20
> theorectically the logic enables you to perform American/Bermudan =20
> pricing within a montecarlo framework via the LSMC method
> (Least Squares Monte carlo).

Yes---but I think the code should be heavily optimized.

> However as the QuantLib code stands, I don't know if there is an easy =20
> way to simply produce random paths of rates that follows one of the =20
> Interest rate stochastic models.
>=20
> I know that the MonteCarlo code caters for classes within the =20
> processes directory, but I'm not too sure about the classes within =20
> the ShortRateModels folder.

Given a OneFactorModel instance, model->dynamics()->process() gives you =20
the process followed by the underlying state variable. It should be =20
possible to pass it to the Monte Carlo framework. The same applies =20
(with a few more methods to call) to TwoFactorModel.

Later,
	Luigi

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This gubblick contains many nonsklarkish English flutzpahs, but the
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