I am wondering weather there exists some method such that one can simulate sample paths for the Heston model in Quantlib-Python. I am currently working on a project that require simulations with the Quadratic Exponental scheme with martingale correction, as calibrated parameters severely violates the Feller condition. I have tried to implement the QE scheme by coding it my self, however, with limited success. I have also tried installation of
PyQL, but have not been able to make it work.
I have seen that one can utilize the
ql.GaussianMultiPathGenerator in order to simulate other multi dimensional scenarios. Is it possible one can utilize this method to simulate a CIR and a OU process and correlate them somehow? Is there some other way?