[Quantlib-dev] Simulating Heston/Bates processes

[P. H. <pat...@ke...>]

Hello,

I'm interested in simulating processes in the heston/bates family.

An issue comes up when trying to simulate the Bates double exponential 
process, or the Bates process with deterministic jumps, because these 
processes are defined as models, not processes (the models use the 
regular heston and bates processes, with extra features that are defined 
in the model).

As a result, the path generator logic (see the Examples/DiscreteHedging 
for example) cannot be used. Does anyone know how to adress this issue, 
and simulate a stochastic process that is defined in a model class?

Thanks in advance,

-- 
Patrick Hénaff
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