quantlib-dev

[Quantlib-dev] Monte Carlo Method with Confidence Interval.

[cypanic <cy...@gm...>]

Hi all,
I'm working on an example file, equityOption.cpp. It has some monte carlo
simulations. I would like to get confidence intervals, when I do the monte
carlo simulations. Is there any way to calculate the confidence interval
using Quantlib? If you have any suggestion, please let me know.
Thanks.

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Re: [Quantlib-dev] Monte Carlo Method with Confidence Interval.

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

On Sat, 2007-09-22 at 02:45 -0700, cypanic wrote:
> Hi all,
> I'm working on an example file, equityOption.cpp. It has some monte carlo
> simulations. I would like to get confidence intervals, when I do the monte
> carlo simulations. Is there any way to calculate the confidence interval
> using Quantlib? If you have any suggestion, please let me know.

option.errorEstimate() should give you the standard error of the
returned NPV.

Luigi



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