Re: Heston and ExactVariance
Posted by
Dimathematician on
Oct 02, 2009; 3:46pm
URL: http://quantlib.414.s1.nabble.com/Heston-and-ExactVariance-tp13047p13050.html
Well, obviously we shouldn't change the name until we have the
alternative implementation for the "correct" type. Otherwise it will
not be backwards compatible. Users will call the new version in
their old code and will be sent to nirvana :) And the implementation
will probably not be finished within a week
2009/10/2 Luigi Ballabio
<[hidden email]>
On Thu, 2009-10-01 at 13:22 +0200, Klaus Spanderen wrote:
> your are right, exact variance is not the exact simulation alogrithm
> as proposed by Broadie and Kaya. "exact variance" here means that the
> variance part of the Heston process is sampled from the "correct"
> non-central chi square distribution.
>
> May be we should change the name of the scheme. Do you have a better
> one?
Quick note: if the two of you are going to come up with a better name,
you better do it during next week. After that, I'm starting to package
the 0.9.9 release and I'm freezing the interfaces, so if it's still
called exact variance it stays that way.
Luigi
--
Anyone who says he can see through women is missing a lot.
-- Groucho Marx
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