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From: Apollo W. <aw...@gw...> - 2007-05-18 15:12:36
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Hi all, In version 0.3.4 I can use the QuantLib::MonteCarlo::MultipathGenerator(&drifts, &covariance, timelength, timestep, sggenerator) to do the job How do I do the same in version 0.4.0? The interface seems to be changed significantly. The onlything I can find about covariance in the documentation is for covariance(Time t0, const Array &x0, Time dt) which only give V(xto+dt|xto) for StochasticProcessArray, which is not what I was looking for.=20 Thanks. Sample code would be appricated. Apollo *************************************************************************= ********************* This email is being sent to you for your information pursuant to your req= uest. This information is not warranted=20 as to completeness or accuracy. The views expressed in the message are th= ose of the individual sender,=20 except where the message states otherwise and the sender is authorized to= state them to be the views of=20 George Weiss Associates, Inc. or any of its affiliated entities. This mes= sage is for the named person's use=20 only. It may contain sensitive and private proprietary or legally privile= ged information. No confidentiality or=20 privilege is waived or lost by any mistransmission. You must not, directl= y or indirectly, use, disclose, distribute,=20 print or copy any part of this message if you are not the intended recipi= ent. *** eSafe scanned this email for viruses, vandals, and malicious content.= *** *************************************************************************= ********************* |