Hi Yomi,
which engines do you have for Heston MC? If you have Heston ready it is easy to add Bates. I did it in a proprietary C++ environment which I cannot post or send. But I can send some stuff in VBA which you may adapt to your QL setting...
Or you could share the QL implementation and I will try to put in the Bates extension...
Cheers, Lapsi
Yomi wrote
Hi,
I have managed to add some Heston engines in QL successfully (thanks to the help received here).
My next step would be to add a MC engine for Bates.
Does anybody have any idea how we should do theoritically? and practically in QL?
Cheers
Locked
