Question on Path Generation for Heston Processes

Posted by thusitha liyanage on
URL: http://quantlib.414.s1.nabble.com/Question-on-Path-Generation-for-Heston-Processes-tp7043.html

 
Would the following code work, if the process is Heston Process?
 

rsg_type rsg = PseudoRandom::make_sequence_generator(timeSteps, seconds);
PathGenerator<rsg_type> generator(process, length, timeSteps,
rsg, false);
for (int k=0; k< numOfPaths; k++){
sample_type sample = generator.next();

 
 
-----------------------------------
 
When I try to use this it generate an exception. I believe the reason is that the Process for PathGenerator is assumed to be
StochasticProcess1D
 
 
 
class PathGenerator {
    public:
        ....... 

    private:

        .......
        boost::shared_ptr<StochasticProcess1D> process_;
};
 
 
If this is the case, is there an easy way to generate Heston Paths.
 
 
Thanks and regards,
 
Thusitha

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