quantlib-dev

[Quantlib-dev] Feller Constraint for Heston calibration

[Yomi <gui...@gm...>]

Hi,

I have discussed with Klaus Spedersen some issues for Heston related to the
Feller condition. In summary, the volatility process could reach negative
level if this condition is not verified.
To avoid this I have implemented a small constraint class that checks this
condition.

http://www.nabble.com/file/p15545372/Heston_Calibration_constraint.hpp
Heston_Calibration_constraint.hpp 

You can use this file to include it into QL if you wish.

Cheers
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Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Klaus S. <kl...@sp...>]

Hi

often the Feller condition is not satisfied in real problems (especially for 
equity and fx). In general this doesn't matter. And even if the condition is 
fulfilled a plain vanilla Euler scheme will produce negative variance. 

cheers
 Klaus

On Monday 18 February 2008 14:29:08 Yomi wrote:
> Hi,
>
> I have discussed with Klaus Spedersen some issues for Heston related to the
> Feller condition. In summary, the volatility process could reach negative
> level if this condition is not verified.
> To avoid this I have implemented a small constraint class that checks this
> condition.
>
> http://www.nabble.com/file/p15545372/Heston_Calibration_constraint.hpp
> Heston_Calibration_constraint.hpp
>
> You can use this file to include it into QL if you wish.
>
> Cheers



-- 
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: kl...@NO... (remove NOSPAM from the address)

Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Luigi B. <lui...@gm...>]

On Feb 18, 2008, at 9:24 PM, Klaus Spanderen wrote:
> often the Feller condition is not satisfied in real problems 
> (especially for
> equity and fx). In general this doesn't matter. And even if the 
> condition is
> fulfilled a plain vanilla Euler scheme will produce negative variance.

So Klaus, if I understand correctly, you advise against putting the 
constraint in?

Luigi

Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Klaus S. <kl...@sp...>]

Hi,

the Feller constraint is already in QuantLib .. well hidden as an inner class 
of the class HestonModel and called HestonModel::VolatilityConstraint (okay, 
the name wasn't that clever;-)

IMO the constraint is more of "academic interest". I wouldn't use in real 
life.

 Klaus

On Friday 22 February 2008 12:41:41 Luigi Ballabio wrote:
> On Feb 18, 2008, at 9:24 PM, Klaus Spanderen wrote:
> > often the Feller condition is not satisfied in real problems
> > (especially for
> > equity and fx). In general this doesn't matter. And even if the
> > condition is
> > fulfilled a plain vanilla Euler scheme will produce negative variance.
>
> So Klaus, if I understand correctly, you advise against putting the
> constraint in?
>
> Luigi
>
>
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-- 
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: kl...@NO... (remove NOSPAM from the address)

Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Ferdinando A. <na...@am...>]

On Fri, Feb 22, 2008 at 9:44 PM, Klaus Spanderen <kl...@sp...> wrote:
>  the Feller constraint is already in QuantLib .. well hidden as an inner class
>  of the class HestonModel and called HestonModel::VolatilityConstraint (okay,
>  the name wasn't that clever;-)

why don't you rename it? ;-)

ciao -- Nando

Re: [Quantlib-dev] Feller Constraint for Heston calibration

[Klaus S. <kl...@sp...>]

commit...done;-)

On Monday 25 February 2008 10:56:39 Ferdinando Ametrano wrote:
> On Fri, Feb 22, 2008 at 9:44 PM, Klaus Spanderen <kl...@sp...> wrote:
> >  the Feller constraint is already in QuantLib .. well hidden as an inner
> > class of the class HestonModel and called
> > HestonModel::VolatilityConstraint (okay, the name wasn't that clever;-)
>
> why don't you rename it? ;-)
>
> ciao -- Nando
>
> -------------------------------------------------------------------------
> This SF.net email is sponsored by: Microsoft
> Defy all challenges. Microsoft(R) Visual Studio 2008.
> http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/
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-- 
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: kl...@NO... (remove NOSPAM from the address)