Hi Andrew!
As part of my master's thesis I did an implementation of the Bates
SVJD-model which has Heston as a special case. I never found the time to
polish it enough that it could be part of the official QuantLib release, but
feel free to use it and build on it. The source code can be found at this
link:
http://www.nielses.dk/stud/cand/download/Best regards,
Niels Elken Sønderby
--
http://www.nielses.dk/----- Original Message -----
From: "Andrew Marlow" <
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To: <
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Sent: Saturday, October 02, 2004 5:43 PM
Subject: [Quantlib-users] Any plans for Heston?
> Are there any plans to add Heston support to Quantlib please?
> If so what approach will be taken? Some approaches will
> only require use of the complex class but others may require
> more extensive matrix support. Any ideas?
>
> Regards,
>
> Andrew Marlow
> ----
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