[Quantlib-users] LD Path Generator in QL-Python for multi-factor processes

[Jack G <jac...@gm...>]

Dear QL Users,

I'm getting a slightly cryptic error when I try to manually generate paths
for Heston using LD numbers in Python.

It works fine for BS:

*import QuantLib as ql*

*initialValue = ql.QuoteHandle(ql.SimpleQuote(100))*
*sigma = 0.2*

*today = ql.Date().todaysDate()*
*riskFreeTS = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0,
ql.Actual365Fixed()))*
*dividendTS = ql.YieldTermStructureHandle(ql.FlatForward(today, 0.0,
ql.Actual365Fixed()))*
*volTS = ql.BlackVolTermStructureHandle(ql.BlackConstantVol(today,
ql.NullCalendar(), sigma, ql.Actual365Fixed()))*
*process = ql.BlackScholesProcess(initialValue, riskFreeTS, volTS)*

*times = ql.TimeGrid(1, 12)*

*rng = ql.UniformLowDiscrepancySequenceGenerator(12)*
*seq = ql.GaussianLowDiscrepancySequenceGenerator(rng)*
*path_gen = ql.GaussianSobolPathGenerator(process, times, seq, False)*

*x = path_gen.next()*


However, when I try the same with Heston, I get the following error: "
RuntimeError: Boost assertion failed: px != 0"

*v0 = 0.09 kappa = 0.8 theta = 0.09 rho = 0.4 sigma = 0.1 process =
ql.HestonProcess(riskFreeTS, dividendTS, initialValue, v0, kappa, theta,
sigma, rho) times = ql.TimeGrid(1, 12) rng =
ql.UniformLowDiscrepancySequenceGenerator(12) seq =
ql.GaussianLowDiscrepancySequenceGenerator(rng) path_gen =
ql.GaussianSobolPathGenerator(process, times, seq, False) x =
path_gen.next()*


My working hypothesis is that the rng needs to be dimension 24 instead of
12 because of the second vol process that needs to be simulated, but when I
change the dimension to 24 I get the following error: "RuntimeError:
sequence generator dimensionality (24) != timeSteps (12)"

I've looked through the QuantLib-SWIG code but not got too far... any
pointers about how I might deal with this? Or have I done something stupid
somewhere?

Thanks,
Jack