- Joined
- 10/16/08
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- 97
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Hi guys,
was wondering whether anyone can recommend or has come across a good blueprint for a Monte Carlo engine?
I have looked around and had a look at Joshi's in C++ Design Patterns and Derivatives Pricing. Whilst it's great for educational purposes, it seems quite tedious. For instances, for multiple stochastic processes [for assets] you'd have to implement multiple derived classes of the base engine.
IMHO, the engine itself (or any derived classes) shouldn't have to care about the actual process that is to be modelled. At most, it should care whether it's a single-factor or a multi-factor one, I reckon.
Any hints would be appreciated. Thanks.
was wondering whether anyone can recommend or has come across a good blueprint for a Monte Carlo engine?
I have looked around and had a look at Joshi's in C++ Design Patterns and Derivatives Pricing. Whilst it's great for educational purposes, it seems quite tedious. For instances, for multiple stochastic processes [for assets] you'd have to implement multiple derived classes of the base engine.
IMHO, the engine itself (or any derived classes) shouldn't have to care about the actual process that is to be modelled. At most, it should care whether it's a single-factor or a multi-factor one, I reckon.
Any hints would be appreciated. Thanks.