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Pricing commodity options

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Pricing commodity options

Igor Swie
Hi,
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

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Re: Pricing commodity options

Luigi Ballabio
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


On Wed, May 3, 2017 at 10:35 PM Igor Swie <[hidden email]> wrote:
Hi,
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
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