On Thu, 2008-10-16 at 09:14 -0700, kmanley wrote:
> Sorry if this is a dumb question, I'm not a quant but am trying to do
> something with quantlib.
>
> I am trying to generate a path using HestonProcess, but am unsure of the
> semantics of t0 and dt in the evolve() function.
>
> If I configure HestonProcess with annualised volatilities and want to
> generate a path representing daily values for asset price and vol for the
> next 2 years, what do I pass for t0 and dt on each call to evolve?
Daily steps corresponds to dt = 1/365. For the first step, you would
use t0 = 0, dt = 1/365. The second step would start where the first
arrived, so t0 = 1/365, dt as before. For the third step, t0 = 2/365
and dt as before---and so on.
A note though: the above holds if you want to generate the paths
yourself. You'll be better off using the MultiPathGenerator class; you
can pass it the Heston process and the desired time grid, and it will
generate the paths for you.
Luigi
--
When all else fails, pour a pint of Guinness in the gas tank,
advance the spark 20 degrees, cry "God Save the Queen!", and pull
the starter knob.
-- MG "Series MGA" Workshop Manual
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