Re: [Quantlib-users] Heston Calibration

[philippe h. <pha...@ma...>]

That would be nice.
I just built a prototype that uses SPX option quotes, and attempts to derive RidkNeutralForward/Strike for each option, carefully eliminating all calls where such ratio is >= 1 and puts where it is <1.
I then compute a BS implied volatility for each option and use such data to build a helpers list, from which I calibrate Heston parameters via ql.LevenbergMarquart. If I then compute the calibration errors, what I observe is that for each helper, the value helper.marketValue() is nowhere near the market values I had used to compute the BS implied volatilities. Such respective values differ by anywhere from 15% to 65% relative option premium.
I suppose I need to post some code if I want someone to help? But curious of the steps I took are ok?
Regards

Philippe Hatstadt
+1-203-252-0408


> On Jul 15, 2024, at 2:35 PM, Peter Caspers <pca...@gm...> wrote:
> 
> 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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>> 
>>