Re: Quantlib's equivalent of Matlab's lsqnonlin

Posted by Klaus Spanderen-2 on
URL: http://quantlib.414.s1.nabble.com/Quantlib-s-equivalent-of-Matlab-s-lsqnonlin-tp6162p6175.html

Hi

the prices are calculated within the HestonModelHelper class using the implied
volatility surface (prices are provided via the volatility surface.).

The Model calibrates to match the volatility surface or the prices in a least
square sense. Depends on how the HestonModelHelper is instantiated (see last
argument of the constructor)

cheers
 Klaus


On Friday 06 June 2008 20:33:01 cc2008 wrote:

> Thanks for the reply!
>
> I'm also looking at the test-suite/hestonmodel.cpp example which is kind of
> closer to what I want to do.
>
> I have a question about the way the calibration is done. In
> testBlackCalibration and testDAXCalibration methods, I don't see any use of
> a market price. So, what are we calibrating this model to ?   I'm sure I'm
> missing something ;)
>
> Thank you.
>
> CJ

--
Klaus Spanderen
Ludwig Erhard Str. 12
48734 Reken (Germany)
EMail: [hidden email] (remove NOSPAM from the address)

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