Re: [Quantlib-users] Simulation path

[Amine I. <ami...@gm...>]

Hi Christofer,

The process interface in QL has a Virtual method called evolve() with arguments to “evolve” your simulated variable through time from t to t+dt and is implemented for a variety of models per asset class. I use the discretisation of a time grid and just evolve the process from time point to the next until the last grid point.

Hope this helps,

Amine Ifri

> On 6 Sep 2020, at 21:13, Christofer Bogaso <bog...@gm...> wrote:
> 
> Hi,
> 
> I am wondering if there is any way to get the simulated path generated
> from some stochastic process like GBM with constant volatility and
> Heston.
> 
> I am using Python implementation of Quantlib.
> 
> Any pointer will be highly appreciated.
> 
> Thanks,
> 
> 
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