Re: [Quantlib-users] Extract individual implied volatilities from Heston volatility surface

[Daniel L. <dan...@gm...>]

Hi,

Could someone help me out with the below question?

Please let me know if any other information is required.

Thanks for your time.

On Tue, 14 May 2024 at 23:45, Daniel Lobo <dan...@gm...> wrote:
>
> I have fitted a Volatility surface using Heston process from quantlib
>
> import QuantLib as QL
> Day_Count = QL.Actual365Fixed()
>     Calendar = QL.TARGET()
>
>     Calculation_Date = QL.Date(6, 11, 2015)
>     QL.Settings.instance().evaluationDate = Calculation_Date
>
>     Spot = 659.37
>     DIV_yield = QL.QuoteHandle(QL.SimpleQuote(0.0))
>     Flat_TermStructure =
> QL.YieldTermStructureHandle(QL.FlatForward(Calculation_Date, 0.01,
> Day_Count))
>     DIV_TermStructure  =
> QL.YieldTermStructureHandle(QL.FlatForward(Calculation_Date, 0.00,
> Day_Count))
>
> QL.HestonBlackVolSurface(QL.HestonModelHandle(QL.HestonModel(QL.HestonProcess(Flat_TermStructure,
> DIV_TermStructure, QL.QuoteHandle(QL.SimpleQuote(Spot)), v0, Kappa,
> Theta, Sigma, Rho))))
>
> From above I would like to extract estimate of implied volatility for
> strike 527.50 and expiry QL.Date(6, 12, 2015).
>
> Is there any method to achieve this?