MSc Konstantin Ermakov

Free C/C++ Matlab Code for Derivative Pricing

Differential Evolution

On-Line Calculator for the Heston Model

xlw 4.0 is out. I’ll have to work with it anyway, so, perhaps, I’ll share some of my  experience.

In my master thesis I described the application of classical Monte Carlo methods for the Heston Model. For the implementation one usually requires a very good Random Numbers Generator. Read the rest of this entry »

#include <windows.h>

HANDLE hLogFile;

/**
 * enable memory leaks reporting
 *
 * @param file - file name
 */
void enableMemoryLeaksReporting(std::string file) {
   hLogFile = CreateFile(file.c_str(), GENERIC_WRITE, FILE_SHARE_WRITE,
                NULL, CREATE_ALWAYS, FILE_ATTRIBUTE_NORMAL, NULL);

   _CrtSetDbgFlag(_CRTDBG_ALLOC_MEM_DF | _CRTDBG_CHECK_CRT_DF |

                      _CRTDBG_LEAK_CHECK_DF);

   _CrtSetReportMode(_CRT_WARN, _CRTDBG_MODE_FILE);
   _CrtSetReportFile(_CRT_WARN, hLogFile);
};

If somebody needs, here is a pre-built version of XLW for Visual Studio 2005 Express edition.