Re: [Quantlib-dev] Likelihood Ratio for MC

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

Hi Jason,

please go ahead and provide a patch, your contribution would be welcome.

btw are you sure you would own the copyright to your code? would you
be able to get a disclaimer from your employer allowing you to
contribute to QuantLib?

Yes, you got it, the domain in your email address struck me as much as
your likelihood proposal :-)

ciao -- Nando


On 3/27/06, Jas...@ri... <Jas...@ri...> w=
rote:
>
> Hi there, I'm looking to add an MC engine with Greeks using the Likelihoo=
d
> ratio, and from my explorations of the code so far, the best place to add
> the first variate, is to store it in the Path class (which is the biggest
> issue I want to get confirmation on) , so that it's easily accessible wit=
h
> custom MC engines and allows the ability to retrofit the Greeks enhanceme=
nt
> to existing MC engines.
> I'd add a simple MC pricer with the whole Greeks method implemented as an
> example for future implementations etc..
> Thoughts?
>
> Regards,
> Jason
>
>