Followup questions on MC / Bug in china.cpp

Thanks for the replies on the basket option pricing
question.  There is a 
followup question.  What facilities does QuantLib have for
creating 
coorelated monte-carlo paths for multi-asset options?  I'm
wondering if there 
is something in the libor market-model code that is usable
for this.

Also, if there is someone out there that wants an easy
project to fix the 
libraries.  Calendar/china.cpp needs to be fixed to take
into account the 
fact that the Lunar New Year is a week long festival (which
is why the the 
market drop yesterday was as sharp as it was).  The code fix
is easy.  
Getting data on when the holidays where historically is more
difficult.

-- 
------------------------------------------------------------
-------------------
Joseph Wang Ph.D. - joegnacademy.org  
China Derivatives Researcher and Software Developer -
QuantLib
http:/
/en.wikiversity.org/wiki/User:Roadrunner





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On Wed, 2007-02-28 at 01:08 -0600, Joseph Wang wrote:
> Thanks for the replies on the basket option pricing
question.  There is a 
> followup question.  What facilities does QuantLib have
for creating 
> coorelated monte-carlo paths for multi-asset options?

Hi Joe,
	see ql/MonteCarlo/multipathgenerator.hpp. An example of an
engine using
it is in ql/PricingEngines/Basket/mcbasketengine.hpp which
can be used
with the basket option in ql/Instruments/basketoption.hpp.

Later,
	Luigi


---------------------------------------- 

No, I'm not interested in developing a powerful brain. All
I'm after 
is just a mediocre brain, something like the president of
American 
Telephone and Telegraph Company. 
-- Alan Turing on the possibilities of a thinking machine,
1943. 



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