I am trying to use a piece-wise heston to generate paths for a Monte Carlo Simulation. I create and calibrate a ql.PiecewiseTimeDependentHestonModel as in the example on the ql doc python site:


Note on the site, in the regular heston example: you first build a process, and then you build a model from the process:

hestonProcess = ql.HestonProcess(riskFreeTS, dividendTS, initialValue, v0, kappa, theta, sigma, rho) hestonModel = ql.HestonModel(hestonProcess)

I am able to use the process as the price process passed to ql.GaussianMultiPathGenerator.

Now the example on the page for piecewise Heston goes straight to the model:

hestonModelPTD = ql.PiecewiseTimeDependentHestonModel(riskFreeTS, dividendTS, initialValue, v0, thetaTS, kappaTS, sigmaTS, rhoTS, grid)

So there is no process built as an intermediate step, and I was not able to find a piece-wise Heston process anywhere in the docs.

Does anyone know of a way to either create a process using pw Heston, or some other method by which I can generate monte carlo paths using the pw heston model?

Thank you in advance



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