Generate a simulation


Use nextHit and hittingTime to generate one simulation of positions (Xi) and prices (X) for the money market account and underlying.
Closed Sep 27, 2013 at 8:17 PM by keithalewis


jw945 wrote Sep 22, 2013 at 8:08 PM

Do we want to specify risk free rate? if not, then account function is going to return the positions for money market account and it seems that we don't need to use vector<pair> to record the positions of both asset and money market acct when we generate the self-financing process as account function will do that after we have all info of asset position and asset price vectors.

keithalewis wrote Sep 23, 2013 at 12:50 AM

You are correct. This would be more optimal. The most important thing about the first cut of software is that you write simple code that you are sure is correct. We can optimize once we get it up and running and have the tests in.

If you don't know about this guy, you should: http://en.wikiquote.org/wiki/Donald_Knuth. One of his quotes is "We should forget about small efficiencies, say about 97% of the time: premature optimization is the root of all evil"

wrote Sep 27, 2013 at 8:17 PM