Monte Carlo Methods in Quantitative Finance Generic and Efficient MC Solver in C++ : Wilmott Magazine Article – Daniel Duffy and Joerg Kienitz

Daniel Duffy and Joerg Kienitz describe design and implementation of a software architecture in C++ to model one-factor and multifactor option pricing problems

We describe how we have designed and implemented a software architecture in C++ to model one-factor and multifactor option pricing problems. We pay attention to the fact that different kinds of applications have their own specific accuracy, performance and functional requirements. To this end, we apply the design patterns that we have discussed in previous editions of Wilmott. In this way we ensure that the software can be customized to suit new and changing requirements.

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