Heston model for FX and Equity in QuantLib

tglauner · June 4th, 2009, 6:28 pm

Does anybody have any experience with using the Heston model for FX and Equity options in QuantLib? It's very difficult to get information if anybody uses the Heston QuantLib model in production. Any feedback would be very much appreciated.

ThomasJ · June 5th, 2009, 12:45 am

Have written some simple code with it, but currently using it in an academic rather than commercial environment.