Hi all. I'm having some trouble using the evolve() method for a HestonProcess, it causes an Access violation and crashes. Here is an example. I'm not sure if I'm doing something wrong, or if perhaps something is wrong with my installation. I'm using QuantLib-1.9, QuantLib-SWIG-1.9, swigwin-3.0.12, and boost_1_63_0-msvc-10.0-32.
today = Date(30, 12, 2016)
Settings.instance().evaluationDate = today
option = EuropeanOption(PlainVanillaPayoff(Option.Call, 100.0), EuropeanExercise(Date(30,1,2017)))
u = SimpleQuote(100.0)
r = SimpleQuote(0.01)
sigma = SimpleQuote(0.20)
riskFreeCurve=FlatForward(0, TARGET(), QuoteHandle(r), Actual360())
volatility = BlackConstantVol(0, TARGET(), QuoteHandle(sigma), Actual360())
process = HestonProcess(YieldTermStructureHandle(riskFreeCurve),
YieldTermStructureHandle(FlatForward(0, TARGET(), 0.0, Actual360())),
QuoteHandle(u),
0.04, 0.1, 0.01, 0.05, 0.75)
It prices fine if I add the following lines
model = HestonModel(process)
engine = AnalyticHestonEngine(model)
option.setPricingEngine(engine)
print option.NPV()
but if I call the following
process.evolve(0,25,0.01,0.5)
I already have working code to price an exotic product that works perfectly if I use
BlackProcess()
, so I could just replace the process with Heston, that would be ideal.
I tried looking into
MultiPathGenerator
also, but the constructor doesn't appear to be exposed through SWIG. Again, perhaps it's a problem with my install.
Locked
