Re: [Quantlib-users] Heston Calibration

[Philippe H. <pha...@ma...>]

So if what I have are option quotes, I need to: 1. compute the risk-neutral forward for each expiry, replicating exactly what the Heston engine does? is there a way to do that using the engine? If not, what's the best way? 2. Use a BSM model, again making sure that it computes the same exact risk-neutral forward, compute the BSM implied volatility, correctly using either a call or a put depending on OTM forward. 3. Pass the vols and strikes to the HestonHelpers? For #1 and #2, I assume that passing the same exact dividend and risk-free rate handles to the respective BSM and Heston engines would guarantee matching risk-neutral forwards, but is there another approach altogether given than what I have are call and put prices? Philippe Hatstadt 203-252-0408 https://www.linkedin.com/in/philippe-hatstadt/ On Jul 12, 2024, at 4:06 PM, Peter Caspers <pca...@gm...> wrote: forward I believe ------- Weitergeleitete Nachricht ------ Von: philippe hatstadt < pha...@ma... > Datum: Fr. 12. Juli 2024 um 20:37 Betreff: Re: [Quantlib-users] Heston Calibration An: Peter Caspers < pca...@gm... > Cc: < qua...@li... > Out of the money spot or forward? Regards Philippe Hatstadt +1-203-252-0408 > On Jul 12, 2024, at 2:10 PM, Peter Caspers < pca...@gm... > wrote: > > Yes. It will always build the option type which is out-of-the-money. > Best, Peter > >> On Fri, 12 Jul 2024 at 18:30, Philippe Hatstadt via QuantLib-users >> < qua...@li... > wrote: >> >> Does the ql.HestonModelHelper only expects a BSM implied volatility as an input? I am asking because there doesn't seem to be any parameter for option type (call or put)? >> >> Best regards Philippe Hatstadt 203-252-0408 https://www.linkedin.com/in/philippe-hatstadt/ >> >> >> _______________________________________________ >> QuantLib-users mailing list >> Qua...@li... >> https://lists.sourceforge.net/lists/listinfo/quantlib-users