Re: processes calibration

Posted by Yee Man Chan on Jul 10, 2008; 5:37pm
URL: http://quantlib.414.s1.nabble.com/processes-calibration-tp11970p11971.html



During my email exchange with Klaus Spanderen, he told me he extended the Heston process calibration code to work with other processes. He said the new code works with my GJR-GARCH process. I have never tested it myself however.

Yee Man
--- On Thu, 7/10/08, Sylvain Bertrand <[hidden email]> wrote:

> From: Sylvain Bertrand <[hidden email]>
> Subject: [Quantlib-dev] processes calibration
> To: [hidden email]
> Date: Thursday, July 10, 2008, 10:26 AM
> Hi everyone,
>
> I was wondering if there was currently a task in progress
> to implement
> calibration for the processes?
>
> Or is it something that is voluntarily left to the quantlib
> user?
>
> Thanks
>
> Sylvain-------------------------------------------------------------------------
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