Re: [Quantlib-dev] (no subject)

[Simon I. <Sim...@fs...>]

Thanks Bojan,

I was hoping to use Fractional Fourier Transform to perform the integral
(as in Chourdakis '08).
Are there any issues with linking QuantLib to FFTW (perhaps through a
late-time binding to avoid licensing problems)?

Cheers,
Simon

-----Original Message-----
From: Bojan Nikolic [mailto:bo...@bn...] 
Sent: 29 September 2010 19:33
To: Simon Ibbotson
Cc: qua...@li...
Subject: Re: [Quantlib-dev] (no subject)


"Simon Ibbotson" <Sim...@fs...> writes:

> I'm investigating the pricing of CVA via the method outlined in Brigo
> (2009). I've looked through QuantLib and can't find any reference to
> valuation using Fourier Transforms. I'm sure there must be something -
> as the Heston model is well represented in QuantLib - but simply can't
> see where it would fit.

The Heston model lives in 

ql/pricingengines/vanilla/analytichestonengine.hpp

The Fourier integral is evaluated by direct Gauss-Lobatto quadrature.

Best,
Bojan



-- 
Bojan Nikolic          ||          http://www.bnikolic.co.uk/ql



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