heston basket mulipath generation

Posted by Jason Bowsher on Oct 03, 2008; 1:11pm
URL: http://quantlib.414.s1.nabble.com/heston-basket-mulipath-generation-tp6743.html

Hi All

 

Am trying to create a heston basket that I can use for sa structured product.

 

If I try

 

std::vector<boost::shared_ptr<StochasticProcess1D> > processes(3);

processes[0] = hestonProcess1;

processes[0] = hestonProcess1;

processes[2] = hestonProcess2;

processes[1] = hestonProcess3;

 

The compile fails with

cannot convert from 'QuantLib::HestonProcess *const ' to 'QuantLib::StochasticProcess1D *'

 

Because StocasicProcess1D is not in the HestonProcess.

 

If I change the HestonProcess header from:

 

class HestonProcess : public StochasticProcess1D {

to

class HestonProcess : public StochasticProcess{

Quantlib compile fails becuase of Xo, drift and diffusion expected by

QuantLib::StochasticProcess1D

'QuantLib::Real QuantLib::StochasticProcess1D::drift(QuantLib::Time,QuantLib::Real) const' : is abstract

uantlib compil

My question is, is it possible to generate multipaths for the heston process.  If so should this be done using a StochasticProcess1D vector and then a StochasticProcessArray or is there a better way without having to change the quantlib library code.

If StochasticProcess1D vector is the way to do it can anyone suggest what needs to be changed in the HestonProcess.hpp and cpp file to get it working as I am not a C++ developer.

 

Thanks for any help.

 

Jason

 

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