Re: [Quantlib-dev] processes calibration

[Sylvain B. <syl...@gm...>]

Hi Klaus,

My question is actually not "how to calibrate" (I know how to do that) as
"would it be beneficial to have a calibrate() method inside the processes"?
Maybe with an interface class "Processes"?

As an interested practitionner, I would be willing to contribute so I'm
trying to find areas for improvement.

Please let me know if this makes sense.

Regards,
Sylvain

On 7/10/08, Klaus Spanderen <kl...@sp...> wrote:
>
> 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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