Re: C# Heston Model Calibration

Posted by Kiwiabove on
URL: http://quantlib.414.s1.nabble.com/C-Heston-Model-Calibration-tp396p398.html

Thank you very much I will try it out tonight and report back on how I got on.




<quote author="Klaus Spanderen-2">
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