Re: [Quantlib-users] Optimally Transported Schemes

[jean-marc m. <jea...@gm...>]

I forgot : there is also an "Heston" project that includes Quantlib (I use
Quantlib here for Benchmark purposes here). However this project is a
research one, not mature enough to be integrated at present time.

2009/1/25 jean-marc mercier <jea...@gm...>

> You're welcome.
> There is a Quantlib project inside, dedicated to Quantlib integration (I
> benchmarked the Quantlib FD American Pricer against the OTS).
> However it should not compile anymore, as the code changed a bit since I
> opened it some four months ago.
>
>
>
> 2009/1/24 Luigi Ballabio <lui...@gm...>
>
>
>> On Jan 22, 2009, at 3:17 PM, jean-marc mercier wrote:
>>
>>> Hi Again. The projects that may interest quantlib are described shortly
>>> at this URL
>>>
>>>
>>> http://code.google.com/p/optimally-transported-schemes/wiki/ListOfProjects
>>>
>>> Browse then to Financial Applications.
>>>
>>
>>
>> Thanks, I'll look into it.  Is there any degree of integration with
>> QuantLib already (for instance, are you using any QuantLib class already) or
>> is it all new code?
>>
>> Luigi
>>
>>
>