Posted by
Luigi Ballabio on
Oct 27, 2008; 4:53pm
URL: http://quantlib.414.s1.nabble.com/heston-basket-mulipath-generation-tp6743p6744.html
On Fri, 2008-10-03 at 13:11 +0000, Jason Bowsher wrote:
> 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[2] = hestonProcess2;
> processes[1] = hestonProcess3;
>
>
>
> The compile fails with
>
> cannot convert from 'QuantLib::HestonProcess *const ' to
> 'QuantLib::StochasticProcess1D *'
Yes, Heston is not a 1-D process. It is 2-D (it evolves both the
underlying and its volatility.)
>
> 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.
At this time, it's not possible without writing some new code. You'll
need to write a process class that describes the Heston basket. It
would have to include some logic so that it takes into account the
correlations between the individual processes.
Luigi
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