[Quantlib-dev] Followup questions on MC / Bug in china.cpp

[Joseph W. <jo...@gn...>]

Thanks for the replies on the basket option pricing question.  There is a 
followup question.  What facilities does QuantLib have for creating 
coorelated monte-carlo paths for multi-asset options?  I'm wondering if there 
is something in the libor market-model code that is usable for this.

Also, if there is someone out there that wants an easy project to fix the 
libraries.  Calendar/china.cpp needs to be fixed to take into account the 
fact that the Lunar New Year is a week long festival (which is why the the 
market drop yesterday was as sharp as it was).  The code fix is easy.  
Getting data on when the holidays where historically is more difficult.

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Joseph Wang Ph.D. - jo...@gn...  
China Derivatives Researcher and Software Developer - QuantLib
http://en.wikiversity.org/wiki/User:Roadrunner