Re: processes calibration
Posted by
Sylvain Bertrand on
Jul 10, 2008; 6:06pm
URL: http://quantlib.414.s1.nabble.com/processes-calibration-tp11970p11972.html
I couldn't find the calibration part in SVN Head's "hestonprocess.cpp".
Is it commited yet or did I just look too quickly at the code?
Regards,
Sylvain
On 7/10/08, Yee Man Chan <[hidden email]> wrote:
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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