QuoteOriginally posted by: outrunIt's not ambitions: all I'm saying is put things where they belong, group them, and make code that works on all element in a group.Eg I would try to glue a SDE, numerical discretization scheme and payoff together into something that that has the same interface as a random distribution: just like you can sample a Gamma distribution with a random engine, you would sample a payoff.The benefit is that the code is reusable in other contexts outside this framework.I agree completely. But how can I do this? The problem is there are deeply nested and dependent assemblies to configure in MC1. (and all large systems for that matter). It's all about interfaces IMO.And I suspect no one has done at the level Milo is at. Again, it's an open issue IMO. Maybe C++ was built for speed not for comfort??Random is OK but too small to serve as an exemplar.The closest I have seen is Signals' template parameters. In general, you won't get it mathematically water-tight, because of parameters, eg. FDM<double, SDE<int>>, ouch.
Last edited by Cuchulainn
on October 12th, 2012, 10:00 pm, edited 1 time in total.