Re: [Quantlib-users] Simulation path

[Christofer B. <bog...@gm...>]

Hi,

Thanks for your reply.

Do you have any Python-code example to share with me? Appreciate your
help. Thanks,

On Mon, Sep 7, 2020 at 1:57 AM Amine Ifri <ami...@gm...> wrote:
>
> 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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