Posted by
Klaus Spanderen-2 on
Jul 10, 2008; 10:59pm
URL: http://quantlib.414.s1.nabble.com/processes-calibration-tp11970p11973.html
Hi
you need the help of some more classes to calibrate e.g. a Heston process.
Good examples IMO are the testDAXCalibration test case in
test-suite/hestonprocess.cpp and test-suite/gjrgarchmodel.cpp or the
calibration examples for short rate model in examples/BermudanSwaption.cpp.
regards
Klaus
On Thursday 10 July 2008 20:06:48 Sylvain Bertrand wrote:
> 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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