Monte Carlo for Heston

[Lapin]

Hi,

Can somebody gives me some clues to add a monte carlo engine woth Heston model?
I understand the Single Variance and the basket one, but it seems a bit tricky to add the path generation for Heston (not the Path Pricer, but asset path).

Where should I code this part?

Cheers

[Luigi Ballabio]

On Tue, 2008-02-12 at 04:55 -0800, Yomi wrote:
> Can somebody gives me some clues to add a monte carlo engine woth Heston
> model?

Hi Guillaume,
        it's there already---see

<ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>

Luigi


--

A little inaccuracy sometimes saves tons of explanation.
-- H.H. Munro, "Saki"



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[Lapin]

Hi Luigi,

Thanks for the answer.
Next time I will try to be more clever while looking for info.

cheers

Luigi Ballabio wrote

On Tue, 2008-02-12 at 04:55 -0800, Yomi wrote:
> Can somebody gives me some clues to add a monte carlo engine woth Heston
> model?

Hi Guillaume,
        it's there already---see

<ql/pricingengines/vanilla/mceuropeanhestonengine.hpp>

Luigi


--

A little inaccuracy sometimes saves tons of explanation.
-- H.H. Munro, "Saki"



-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
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