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Is the Multilevel Monte Carlo method implemented in QuantLib? If not, would it make sense to implement it? Is it doable taking into account the structure of the library?

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There's no multilevel MC in the library. I guess it could be implemented as a class similar to McSimulation (see this link) which puts together a number of available building blocks.

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  • $\begingroup$ Thank you. I can't see any numerical schemes in the library. Is the Euler-Maruyama scheme the only one available? I asked because the Milstein scheme (although irrelevant for standard MC), it combines well the MLMC method. Would it make sense to add the Milstein scheme first? is there an abstract scheme class or similar to derive the Milstein scheme from? $\endgroup$
    – Sebastian
    Feb 16 at 14:06
  • $\begingroup$ The existing Euler scheme is implemented here and inherits from a couple of base classes defined here and here. If you inherit your schema from the same classes, it can be used in the simulation. $\endgroup$ Feb 20 at 16:56
  • $\begingroup$ Thanks, I'll look into it. $\endgroup$
    – Sebastian
    Feb 26 at 12:59

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