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

Posted by Luigi Ballabio on Feb 25, 2017; 2:11pm
URL: http://quantlib.414.s1.nabble.com/Trouble-with-HestonProcess-Evolve-for-custom-MC-in-Python-SWIG-tp18110p18112.html

Thanks for the kind words :)

Strange that the wrappers let you pass a number when an array was expected, though.  I thought SWIG took care of that and gave a decent error.  What language are you using?

Luigi

On Fri, Feb 24, 2017 at 11:08 PM kmclaugh <[hidden email]> wrote:

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.



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