http://quantlib.414.s1.nabble.com/Python-swig-calibrate-Heston-model-tp16519.html
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 &,Constraint 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))
--