Hi,
it depends on how you'll use it. If you want to use analytic formulas,
you can just implement them in an engine (you'll need the corresponding
instrument, as well). If you want to calibrate the model, you'll have to
inherit from CalibratedModel and provide helpers; for an example, you can
check how the Heston model is implemented. For Monte Carlo simulation,
you'll need to inherit from StochasticProcess; again, the Heston process
can serve as an example.
Luigi
Post by Igor SwieHi,
I'd like to price commodity options with Quantlib.
As so far I haven't found usual models such as Schwatz 2F model.
Is there a way to implement such a model currently?
Kind regards,
Igor
------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, Slashdot.org! http://sdm.link/slashdot
_______________________________________________
QuantLib-users mailing list
https://lists.sourceforge.net/lists/listinfo/quantlib-users