Re: [Quantlib-users] Discount Method

[Michael (D. portal) <mi...@da...>]

Hi Luigi:

Thank you for getting back to me!

What is the most efficient way to do Monte Carlo simulations in QuantLib
when I need to obtain multiple paths of yield curves for different
scenarios (they do not have to be vectors of DFs but could be FRAs or any
other rate metrics)?

Thanks,

Michael

On Sat, Apr 20, 2024 at 10:59 AM Luigi Ballabio <lui...@gm...>
wrote:

> Hello Michael,
>     no, I'm afraid vector methods are not available.
>
> Luigi
>
>
> On Sun, Apr 14, 2024 at 8:30 PM Michael (DataDriven portal) <
> mi...@da...> wrote:
>
>> Hi All,
>>
>> I am using a *discount* method on a curve to get a discount factor for a
>> given maturity (like in shown in the Cookbook below). But I need to output
>> discount factors for all monthly cash flows of a bond (in my case 360 cash
>> flows) so it is time consuming to call the *discount* method 360 times.
>>
>> Is there a way to get all discount factors (for all cash flows - 360 in
>> my case) in a single call to a curve by passing all maturity dates (e.g. in
>> a list) to speed up the calculations?
>>
>> Thanks,
>>
>> Michael
>>
>> [image: image.png]
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>