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

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

On Wed, 2007-02-28 at 01:08 -0600, Joseph Wang wrote:
> 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?

Hi Joe,
	see ql/MonteCarlo/multipathgenerator.hpp. An example of an engine using
it is in ql/PricingEngines/Basket/mcbasketengine.hpp which can be used
with the basket option in ql/Instruments/basketoption.hpp.

Later,
	Luigi


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