Re: C# Heston Model Calibration
Posted by
Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/C-Heston-Model-Calibration-tp396p401.html
Hi
I've added an additional method to the MultiPath interface and the Scala
example "HestonMonteCarlo", which uses the QuantLib-SWIG interface to
implement a Heston Monte-Carlo pricer for plain vanilla european options.
cheers
Klaus
On Saturday 24 March 2012 06:04:46 Kiwiabove wrote:
> 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
------------------------------------------------------------------------------
This SF email is sponsosred by:
Try Windows Azure free for 90 days Click Here
http://p.sf.net/sfu/sfd2d-msazure_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users