Re: [Quantlib-users] Heston Calibration

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

ORE has a class for stripping a forward curve given put and call option
prices here
https://github.com/OpenSourceRisk/Engine/blob/master/QuantExt/qle/termstructures/equityforwardcurvestripper.hpp

That's half the battle. It works well for OPRA SPX data but you need to
remove some maturities with only a handful of strikes.

On Mon, Jul 15, 2024, 10:19 PM philippe hatstadt via QuantLib-users <
qua...@li...> wrote:

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