[Quantlib-dev] Feller Constraint for Heston calibration

[Yomi <gui...@gm...>]

Hi,

I have discussed with Klaus Spedersen some issues for Heston related to the
Feller condition. In summary, the volatility process could reach negative
level if this condition is not verified.
To avoid this I have implemented a small constraint class that checks this
condition.

http://www.nabble.com/file/p15545372/Heston_Calibration_constraint.hpp
Heston_Calibration_constraint.hpp 

You can use this file to include it into QL if you wish.

Cheers
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