Re: Quantlib's equivalent of Matlab's lsqnonlin

Posted by nabbleuser2008 on
URL: http://quantlib.414.s1.nabble.com/Quantlib-s-equivalent-of-Matlab-s-lsqnonlin-tp6162p6171.html

Besides my question about how to use put payoffs for the calibration, I have another question ; )

To use the prices for the calibration, do I only have to use calibrateVolatility=false ? how do you pass the option price to this constructor -- is it just passing the price instead of volatility (5th parameter) in the constructor below ?  --Btw, I tried that but the calibration process did not change change any of my intial guesses .

Thank you very much.

// constructor for ATM option
        HestonModelHelper(const Period& maturity,
                          const Calendar& calendar,
                          const Real s0,
                          const Real strikePrice,
                          const Handle<Quote>& volatility,
                          const Handle<YieldTermStructure>& riskFreeRate,
                          const Handle<YieldTermStructure>& dividendYield,
                          bool calibrateVolatility = false);