Posted by
Luigi Ballabio on
Nov 16, 2009; 3:43pm
URL: http://quantlib.414.s1.nabble.com/Heston-model-Monte-Carlo-simulation-tp8160p8161.html
On Fri, 2009-11-06 at 18:19 +0100, Bogaert, Gilles wrote:
> I would like to evaluate the Heston model using a Monte Carlo
> simulation and get the values of the paths back, a kind of array [t,
> St], or better to get the average of the paths at certain dates. I
> went through the sources but I don’t see how to use the pricing engine
> for my purpose.
Gilles,
you can use a MultiPathGenerator with a Heston process. The class is
in <ql/methods/montecarlo/multipathgenerator.hpp>.
For an example, look at <test-suite/pathgenerator.cpp> (even though it
doesn't use Heston.) Let me know if you need additional help.
Luigi
--
Prediction is very difficult, especially if it's about the future.
-- Niels Bohr
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