Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Klaus S. <kl...@sp...>]

Hi,

the Feller constraint is already in QuantLib .. well hidden as an inner class 
of the class HestonModel and called HestonModel::VolatilityConstraint (okay, 
the name wasn't that clever;-)

IMO the constraint is more of "academic interest". I wouldn't use in real 
life.

 Klaus

On Friday 22 February 2008 12:41:41 Luigi Ballabio wrote:
> On Feb 18, 2008, at 9:24 PM, Klaus Spanderen wrote:
> > often the Feller condition is not satisfied in real problems
> > (especially for
> > equity and fx). In general this doesn't matter. And even if the
> > condition is
> > fulfilled a plain vanilla Euler scheme will produce negative variance.
>
> So Klaus, if I understand correctly, you advise against putting the
> constraint in?
>
> Luigi
>
>
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