Re: [Quantlib-users] cir process/ quantlib python

[Luigi B. <lui...@gm...>]

Hello,
    the CIR process has been added recently (
https://github.com/lballabio/QuantLib/pull/824) but it's not yet in a
release.  It will be in version 1.19.  In the meantime, you can check out
the development version from git master and compile it.

Hope this helps,
    Luigi


On Tue, May 19, 2020 at 8:40 PM stefano pignataro via QuantLib-users <
qua...@li...> wrote:

> hello,
>
> is it possible to simulate the CIR (cox ingersoll ross) model (given that
> i have the 3 parameters and initial value of the process) using some of the
> quantlib/python function in a similar way as i can for example simulate the
> geometric brownian motion by using the quantlib constructor
> "Quantlib.GeometricBrownianMotionProcess"?
>
> i can create a function that simulate the CIR with python, but i would
> like to use it then into the quantlib function GaussianMultiPathGenerator
> therefore i need a "quantlib process".
>
> i believe quantlib c++ has the CIR process. maybe i can build the process
> in quantlib python by starting from StochasticProcess1D? not much
> documentation on that, though
>
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