Re: C# Heston Model Calibration

Posted by Kiwiabove on
URL: http://quantlib.414.s1.nabble.com/C-Heston-Model-Calibration-tp396p400.html

Actually, better than that, would just be to give the ability to access the information inside "multipath" as I can build all the way out to there, but I cannot access the paths inside of the multipath class.

Kiwiabove wrote

Right I have got that working. After a learning curve in sorting out the swig generation etc. I have my model calibrating, saving the values etc. I can use this with my yield curves to produce a HestonProcess, and have a RNG working, however when I come to do my own crude MC just to test things out, I don't seem to have the "Evolve" method on the HestonProcess object. Am I just not getting something here or is it not exposed to the C# interface? I couldn't find the method on a couple of the other process classes I checked, is it missing from a base type?

Klaus Spanderen-2 wrote

Hi

I've submitted the missing SWIG interfaces for the HestonModelHelper and the
Levenberg-Marquardt optimizer to the SVN trunk. Please find also a Scala
Heston calibration example under

 QuantLib-SWIG/Scala/examples/HestonModelCalibration.scala

The example is a one-to-one translation of the method

HestonModelTest::testDAXCalibration()

in the C++ Heston test suite.

cheers
 Klaus