Re: Trouble with HestonProcess Evolve for custom MC in Python/SWIG

Posted by kmclaugh on Feb 24, 2017; 10:05pm
URL: http://quantlib.414.s1.nabble.com/Trouble-with-HestonProcess-Evolve-for-custom-MC-in-Python-SWIG-tp18110p18111.html

Obviously I strugged for 3 hours before posting this, and then figured it out about 5 min later. :-)

x0, and dw should be arrays for heston, since I need to evolve the vol and spot

BTW, thanks Luigi for the incredible support.