Recent content by KasP

  1. TUTORIAL: Boost 1.37.0 + QuantLib 0.9.6 and Visual Studio 2008

    Where can you download pre-build boost libraries? Do you have a link? Are they going to be installed in a same manner as not pre-build libraries? I'm sure that I have dowloaded the SDK option. Could you write the commands for building boost using the "msvc"? Maybe I'm doing something wronge...

  2. TUTORIAL: Boost 1.37.0 + QuantLib 0.9.6 and Visual Studio 2008

    Hi Doug! Thanks for your answer. I have downloaded Boost_1_37_0, Quantlib 0.9.6 and Visual Studio 2008. My problem is how to get everything to work togheter.. I get these errors: c1 : fatal error C1083: Cannot open source file : 'yyacc.c' : No such file or directory ### ### "Could not find...

  3. TUTORIAL: Boost 1.37.0 + QuantLib 0.9.6 and Visual Studio 2008

    Use of Quantlib, Boost and Visual Studio! Hi everyone! Can someone help me explaining how I use Quantlib, Boost and Visual Studio? I have read David Palmers instructions, but I get some strange errors when I use that instruction. Can someone explain how to get Quantlib, Boost and Visual...

  4. TUTORIAL: Boost 1.37.0 + QuantLib 0.9.6 and Visual Studio 2008

    Hi everyone! Hopefully someone can help me.. I have downloaded Boost 1.37.0, Quantlib 0.9.7 and Visual Studio 2008. I have followed the instructions below. As in the instructions I start by writing this in my shell: Start/All Programs/Accessories/Command Prompt" short cut from the...

  5. Calibration of the Heston SV-model to market data.

    Thanks for your answer! What I'm looking for is an algorithm for the Heston model, which ensure, when you minimize the distance between model prices and market prices, that the minimum we find, is a global minimum. What I hoped for, was an already programmed algorithm which is implemented in...

  6. Calibration of the Heston SV-model to market data.

    Hi again.. I have looked in that threat, men I need a code which take into account that we need at global minimum and not a local minimum. Does anyone have experience about the DE-algorithm? And does anyone has a MatLab-code for the Heston-model for this calibration? What about the ASA-method...

  7. Calibration of the Heston SV-model to market data.

    Hi Alain Thanks, hopefully some would post a code, I really need one... Best, KasP

  8. Calibration of the Heston SV-model to market data.

    Hi everyone! Can anyone help me with the calibration of the Heston SV-model to market data? I have looked in the other treads and can't find some useful information. I have tried to use Nimalin Moodleys MatLab-code, but it seems that it doens't work. Has enyone a code for calibration of the...
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