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Python swig calibrate Heston model

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Seric Chen

Python swig calibrate Heston model

Dear all,

I use python swig to calibrate Heston model. And when I come to the calibrate function, the program gives me the following error. Could you give me some suggestions?

Traceback (most recent call last):

File "D:\QL_HestonModel_test.py", line 86, in <module>

model.calibrate(options, method, EndCriteria(1000, 250, 1e-7, 1e-7, 1e-7))

File "D:\Progs\Python27\lib\site-packages\QuantLib\QuantLib.py", line 5431, in calibrate

def calibrate(self, *args): return _QuantLib.CalibratedModel_calibrate(self, *args)

NotImplementedError: Wrong number or type of arguments for overloaded function 'CalibratedModel_calibrate'.

Possible C/C++ prototypes are:

CalibratedModel::calibrate(std::vector< boost::shared_ptr< CalibrationHelper >,std::allocator< boost::shared_ptr< CalibrationHelper > > > const &,OptimizationMethod &,EndCriteria const &,Constraint const &,std::vector< Real,std::allocator< Real > > const &)

CalibratedModel::calibrate(std::vector< boost::shared_ptr< CalibrationHelper >,std::allocator< boost::shared_ptr< CalibrationHelper > > > const &,OptimizationMethod &,EndCriteria const &)

Code:

options=[]

..............

options.append(HestonModelHelper(maturity,calendar,s0.value(),strike[s],

vol,riskFreeTS,dividendYield,

CalibrationHelper.ImpliedVolError))

v0=0.1

kappa=1.0

theta=0.1

sigma=0.5

rho=-0.5

process=HestonProcess(riskFreeTS,dividendYield,s0,v0, kappa, theta, sigma, rho)

model=HestonModel(process)

engine=AnalyticHestonEngine(model,64)

for option in options:

option.setPricingEngine(engine)

om=LevenbergMarquardt(1e-8, 1e-8, 1e-8);

model.calibrate(options, om, EndCriteria(400, 40, 1.0e-8, 1.0e-8, 1.0e-8))

Zach

Email: [hidden email]

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cheng li

答复: Python swig calibrate Heston model

Hi Zax,

On my side, your codes works fine….

Could I know what is your QL version?

Regards,

Cheng

发件人: Seric Chen [mailto:[hidden email]]
发送时间: 2015年4月27日 16:32
收件人: [hidden email]; Luigi Ballabio
主题: [Quantlib-users] Python swig calibrate Heston model