Can the Bates be used together with Monte Carlo?

[horacio aliaga]

Thanks,

Horacio

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[Niels Elken Sønderby-3]

Hi Horacio

 I have some old code for the Bates model (model with stochastic
 volatility and jumps, SVJD) at this link:
 http://www.nielses.dk/quantlib/nesquant/

 It will for sure not work with the latest QuantLib version, but it
 might be useful to build on or incorporate in QuantLib proper.

 I'm not up-to-date with what's in QuantLib 0.9 so there might be some
 Bates-related stuff in there also.

 Best regards,
 Niels

 2008/6/19, horacio aliaga <[hidden email]>:
 > Thanks,
 >
 > Horacio
 >
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[Luigi Ballabio]

On Thu, 2008-06-19 at 15:08 -0400, horacio aliaga wrote:
> Can the Bates be used together with Monte Carlo?

Not currently. You'll have to wait for next release.

Luigi


--

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Hotspur: Why, so can I, or so can any man;
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