heston basket mulipath generation
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heston basket mulipath generation
 
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Hi All
Am trying to create a heston basket that I can use for sa structured product.
If I try
std::vector<boost::shared_ptr<StochasticProcess1D> > processes(3); processes[0] = hestonProcess1; processes[0] = hestonProcess1; processes[2] = hestonProcess2; processes[1] = hestonProcess3;
The compile fails with cannot convert from 'QuantLib::HestonProcess *const ' to 'QuantLib::StochasticProcess1D *'
Because StocasicProcess1D is not in the HestonProcess.
If I change the HestonProcess header from: class HestonProcess : public StochasticProcess1D { to
class HestonProcess : public StochasticProcess{
Quantlib compile fails becuase of Xo, drift and diffusion expected by QuantLib::StochasticProcess1D 'QuantLib::Real QuantLib::StochasticProcess1D::drift(QuantLib::Time,QuantLib::Real) const' : is abstract uantlib compil My question is, is it possible to generate multipaths for the heston process. If so should this be done using a StochasticProcess1D vector and then a StochasticProcessArray or is there a better way without having to change the quantlib library code.If StochasticProcess1D vector is the way to do it can anyone suggest what needs to be changed in the HestonProcess.hpp and cpp file to get it working as I am not a C++ developer.
Thanks for any help.
Jason
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Re: heston basket mulipath generation
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Hi
Jason,
yes it is
possible, if you wish I could provide you with a preliminary test class for
which use is definitely on your own risk. I used it already but still have to
test it for different properties.
Rgds
Frank
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Re: heston basket mulipath generation
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In reply to this post by Jason Bowsher
A preliminary test class would be much appreciated with own risk.
a helpful starting point.
Regards
Jason
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Re: heston basket mulipath generation
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In reply to this post by Jason Bowsher
On Fri, 2008-10-03 at 13:11 +0000, Jason Bowsher wrote:
> Am trying to create a heston basket that I can use for sa structured > product. > > If I try > > std::vector<boost::shared_ptr<StochasticProcess1D> > processes(3); > > processes[0] = hestonProcess1; > processes[2] = hestonProcess2; > processes[1] = hestonProcess3; > > > > The compile fails with > > cannot convert from 'QuantLib::HestonProcess *const ' to > 'QuantLib::StochasticProcess1D *' Yes, Heston is not a 1-D process. It is 2-D (it evolves both the underlying and its volatility.) > > My question is, is it possible to generate multipaths for the heston > process. If so should this be done using a StochasticProcess1D vector > and then a StochasticProcessArray or is there a better way without > having to change the quantlib library code. At this time, it's not possible without writing some new code. You'll need to write a process class that describes the Heston basket. It would have to include some logic so that it takes into account the correlations between the individual processes. Luigi -- Zawinski's Law: Every program attempts to expand until it can read mail. Those programs which cannot so expand are replaced by ones which can. ------------------------------------------------------------------------- This SF.Net email is sponsored by the Moblin Your Move Developer's challenge Build the coolest Linux based applications with Moblin SDK & win great prizes Grand prize is a trip for two to an Open Source event anywhere in the world http://moblin-contest.org/redirect.php?banner_id=100&url=/ _______________________________________________ QuantLib-users mailing list [hidden email] https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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