[Quantlib-dev] New process classes and the use within StochasticProcessArray...

[Toyin A. <toy...@ho...>]

Hi Luigi,

One further question regarding the new process framework...

Let's say one wanted to price a spread option via monte-carlo between 2 
differnet indexes so that the payoff is

max( (fixing_Index1 - fixing_Index2) - X, 0.0).

It looks like to me that the two interest rate processes (fixing_Index1 and 
fixing_Index2) along with the correlation between the two can be modelled 
via the StochasticProcessArray class and thus the spread option priced 
correctly via monte-carlo.

I guess you can even simulate the FX between the two (if the indexes 
represents rates in different currencies) and have three correlated 
processes.

Would you agree that under the new process framework, the set-up I have 
presented above is correct and would be priced correctly?

I'm not too sure whether the interest rate processes along with a 
correlation matrix is compatible with the StochasticProcessArray class. The 
interfaces suggest yes, but will the computed rates from the simulation 
account correctly for the correlation?

Toy out.