Hello,
there's a hybrid Heston/Hull-White stochastic process available in <ql/processes/hybridhestonhullwhiteprocess.hpp>. As far as I can see it's not extremely documented, but there's an example of its use in <ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp>, where it's used to price a European option, and test cases in <test-suite/hybridhestonhullwhiteprocess.cpp>.
Hope this helps,
Luigi
Hi,
I'm completely new to quantlib. I've been able to find a lot just googling,
but not for my specific purpose. I'm looking to generate paths in a hybrid
rates/equity model where the output would be both rates and equity price(s)
at each timestep.
- Is this possible in quantlib?
- If so, only for a single equity or multiple equities?
- Can somebody show me how to roughly do it (preferably in python)? I don't
need info on how to define the various curve objects etc (I'll get that from
Google), just on whether there is one model that I can direclty use, or if I
should somehow easily be able to link various models together?
Thanks,
BramJ
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