Re: C# Heston Model Calibration

Posted by Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/C-Heston-Model-Calibration-tp396p397.html

Hi

I've submitted the missing SWIG interfaces for the HestonModelHelper and the
Levenberg-Marquardt optimizer to the SVN trunk. Please find also a Scala
Heston calibration example under

 QuantLib-SWIG/Scala/examples/HestonModelCalibration.scala

The example is a one-to-one translation of the method

HestonModelTest::testDAXCalibration()

in the C++ Heston test suite.

cheers
 Klaus


On Saturday 17 March 2012 20:11:22 Kiwiabove wrote:

> Hi,
>
> I am not the greatest at understanding C++ but I have got all of the
> library working and bootstrapping a yield curve is going fine from C#.
> However next I want to calibrate the Heston model to get Kappa etc but I
> cannot figure out how to do it. Is the C# SWIG interfaces missing some
> required classes to do this? Can anyone give me an example or a kick start,
> or is it just not possible with the interfaces that exported at the moment?
>
> Thanks in advance.

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