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

[James M. H. <jam...@qu...>]

You're probably looking for this one:

https://github.com/quantlib/QuantLib/blob/35fba52c4dd1561740a42e859502581c339bba00/ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp#L69

It's on the parent class.

On Thu, May 16, 2024, 1:54 PM Daniel Lobo <dan...@gm...> wrote:

> 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?
>
>
> _______________________________________________
> QuantLib-users mailing list
> Qua...@li...
> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>