quantlib-dev

[animesh s. <ani...@gm...>]

No FD method solution in the case of a generic partial differential 
equation like (Stochastic Vol Model)

for {d sigma = p dt + q dX}, p = (a – b sigma2)

Do read the pdf for bit more understanding. It's just a single page!

I am not sure if this is implemented in quantlib, or maybe I don't know 
how to use it.

Thanks for ur time

Animesh Saxena

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(Exotic Derivatives)

Blog -> http://quantanalysis.wordpress.com