Re: [Quantlib-users] Heston Calibration for American

[Anders J. <and...@ti...>]

Hi,

Great, thanks, I'll  give the FdHestonVanillaEngine a try.

BR,
//A

On Thu, Feb 3, 2022 at 5:21 PM Luigi Ballabio <lui...@gm...>
wrote:

> 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
>>>
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