_____________________________________________
From: Apollo Wong=20
Sent: Friday, May 18, 2007 11:12 AM
To: 'qua...@li...'
Subject: How to generate correlation multipath
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
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