Hi,
it depends on how you'll use it. If you want to use analytic formulas, you can just implement them in an engine (you'll need the corresponding instrument, as well). If you want to calibrate the model, you'll have to inherit from CalibratedModel and provide helpers; for an example, you can check how the Heston model is implemented. For Monte Carlo simulation, you'll need to inherit from StochasticProcess; again, the Heston process can serve as an example.
Luigi
Hi,
I'd like to price commodity options with Quantlib.
As so far I haven't found usual models such as Schwatz 2F model.
Is there a way to implement such a model currently?
Kind regards,
Igor
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