Re: [Quantlib-users] Heston Calibration

[Peter C. <pca...@gm...>]

Maybe we should add a PriceCalibrationHelper that inherits from
CalibrationHelper and a HestonPriceCalibrationHelper from
PriceCalibrationHelper. Both of them operate directly in premium space
rather than vol space.

On Fri, 12 Jul 2024 at 22:15, Philippe Hatstadt <pha...@ma...> wrote:
>
> 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/
> >>
> >>
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>