Following the TrueMeasure composition changes in #609, importance sampling is now represented explicitly using:
ImportanceSampling(target=..., proposal=...)
FinancialOption currently constructs GeometricBrownianMotion(sampler) internally. Since ImportanceSampling is now treated as a terminal measure and should not be wrapped by another TrueMeasure, the existing Asian option importance-sampling examples cannot be migrated cleanly without changing the FinancialOption API.
This issue is to track a future API design for supporting explicit importance sampling in FinancialOption without reintroducing the previous implicit TrueMeasure behavior.
The related historical examples are in the 2020 QMC software tutorial.
Following the
TrueMeasurecomposition changes in #609, importance sampling is now represented explicitly using:ImportanceSampling(target=..., proposal=...)FinancialOptioncurrently constructsGeometricBrownianMotion(sampler)internally. SinceImportanceSamplingis now treated as a terminal measure and should not be wrapped by anotherTrueMeasure, the existing Asian option importance-sampling examples cannot be migrated cleanly without changing theFinancialOptionAPI.This issue is to track a future API design for supporting explicit importance sampling in
FinancialOptionwithout reintroducing the previous implicitTrueMeasurebehavior.The related historical examples are in the 2020 QMC software tutorial.