[Quantlib-dev] MC functionality: calling out from quantlib through swig into java?

[Tito I. <tit...@ya...>]

Hi,

I've been using quantlib through swig in java for several months and,
once past the initial difficulties, it has been working very well.
Up until now, I've only been using the option pricing functionality
but would like to use the monte carlo functionality as well.  To get
rolling, I've been looking at the DiscreteHedging example with an eye
towards implementing in java to get used to what's involved.

I've been able to expose and use the relevant bits of BlackCalculator
but am now stuck on the implementation of a PathPricer.  My hope is
to implement the logic of the path pricer within java, but this
doesn't seem terribly easy as the path pricer is essentially a
callback which, if exposed through SWIG, would need quantlib to call
into java (or whatever other language).  To do this, I believe I'd
have to implement a custom c++ PathPricer which somehow gets a hold
of a reference to a java object which implements the path pricer.  I
don't see any examples in QuantLib-SWIG which seem to do a similar
trick which leads me to believe that it is not particularly easy and
that people are thus not using the MC model in any very interesting
way in other languages.

My questions:

- Am I missing something obvious here?  Are people really not using
  MC from swig?

- Does anyone have an example of a pathpricer or similar
  functionality which is called through swig from quantlib?

- Any ideas on how one might design an amendment to quantlib's
  existing MC functionality such that it could be more readily
  accessed/extended from external languages?

Thanks in advance for any insights or suggestions and best wishes to
all for happy holidays and new year.  

    Tito.