Re: [Quantlib-users] Heston Calibration for American

[Luigi B. <lui...@gm...>]

Hello,
    the calibration implemented in QuantLib (as in the
`HestonModel::calibrate` method) can only use European prices.  However,
the engine pointed out by Jonathan can be used if you have some external
calibration machinery; you would write an objective function that takes the
Heston parameters as input, creates the model and the engine, prices the
quoted options, and returns the difference between calculated and quoted
price.  You can read something like this in <
http://gouthamanbalaraman.com/blog/heston-calibration-scipy-optimize-quantlib-python.html>
(except you'd have to use VanillaOption and FdHestonVanillaEngine instead
of HestonModelHelper).

Hope this helps,
    Luigi



On Thu, Feb 3, 2022 at 11:58 AM Jonathan Sweemer <sw...@gm...> wrote:

> Hi Anders,
>
> Looks like there is some code in the QuantLib test suite for
> American-style vanilla Heston pricing using FD [1]. You might be able to
> reuse some of this code for calibration purposes as well.
>
> [1]
> https://github.com/lballabio/QuantLib/blob/master/test-suite/hestonmodel.cpp#L665
>
> On Wed, Feb 2, 2022 at 4:33 AM Anders Johansson <
> and...@ti...> wrote:
>
>> Hi,
>>
>> Is there a way to calibrate a heston model to american options using QL?
>> Which variety is the fastest?
>>
>> Thank you very much.
>>
>> //A
>>
>> _______________________________________________
>> QuantLib-users mailing list
>> Qua...@li...
>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>