Re: [Quantlib-users] Discount Method

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

Hi Michael, apologies for the delay. I'm not sure what's the most effective
way to do this.  Well, no, scratch that—the most efficient way would be to
do it in C++.  From Python, if you have a process available (such as
HullWhiteProcess, for instance) you can use the available PathGenerator
class.  What kind of simulation do you have in mind?

Luigi


On Sat, Apr 20, 2024 at 5:49 PM Michael (DataDriven portal) <
mi...@da...> wrote:

> 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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>>