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Re: heston basket mulipath generation

Posted by Frank Hövermann on Oct 05, 2008; 10:03am
URL: http://quantlib.414.s1.nabble.com/heston-basket-mulipath-generation-tp6743p6746.html

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Hi Jason,
yes it is possible, if you wish I could provide you with a preliminary test class for which use is definitely on your own risk. I used it already but still have to test it for different properties.
 
Rgds
Frank
-----Ursprüngliche Nachricht-----
Von: Jason Bowsher [mailto:[hidden email]]
Gesendet: Freitag, 3. Oktober 2008 15:12
An: [hidden email]
Betreff: [Quantlib-users] heston basket mulipath generation

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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