Re: [Quantlib-users] Simulation path

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

Hello,
    alternatively, I'd use a path-generator class (which takes care of
calling the process interface).  Depending on your process, that might be
PathGenerator (if your process is 1-D, like the Black-Scholes-Merton
process) or MultiPathGenerator (e.g. for Heston, which has two variables).
You can find a 1-D example at <
http://gouthamanbalaraman.com/blog/hull-white-simulation-quantlib-python.html
>.

Luigi


On Sun, Sep 6, 2020 at 10:29 PM 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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