Re: [Quantlib-dev] processes calibration

[Klaus S. <kl...@sp...>]

Hi

you need the help of some more classes to calibrate e.g. a Heston process. 
Good examples IMO are the testDAXCalibration test case in 
test-suite/hestonprocess.cpp and test-suite/gjrgarchmodel.cpp or the 
calibration examples for short rate model in examples/BermudanSwaption.cpp.

regards 
 Klaus

On Thursday 10 July 2008 20:06:48 Sylvain Bertrand wrote:
> I couldn't find the calibration part in SVN Head's "hestonprocess.cpp".
>
> Is it commited yet or did I just look too quickly at the code?
>
> Regards,
> Sylvain
>
> On 7/10/08, Yee Man Chan <ym...@ya...> wrote:
> > During my email exchange with Klaus Spanderen, he told me he extended the
> > Heston process calibration code to work with other processes. He said the
> > new code works with my GJR-GARCH process. I have never tested it myself
> > however.
> >
> > Yee Man
> > --- On Thu, 7/10/08, Sylvain Bertrand <syl...@gm...>
> >
> > wrote:
> > > From: Sylvain Bertrand <syl...@gm...>
> > > Subject: [Quantlib-dev] processes calibration
> > > To: qua...@li...
> > > Date: Thursday, July 10, 2008, 10:26 AM
> > > Hi everyone,
> > >
> > > I was wondering if there was currently a task in progress
> > > to implement
> > > calibration for the processes?
> > >
> > > Or is it something that is voluntarily left to the quantlib
> > > user?
> > >
> > > Thanks
> >
> > Sylvain------------------------------------------------------------------
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