Posted by
Luigi Ballabio on
URL: http://quantlib.414.s1.nabble.com/Model-calibration-with-external-optimizers-tp7186p7189.html
On Thu, 2009-02-19 at 04:28 -0800, jarkki wrote:
> I have the optimization routine set up as you described(I guess), but my
> optimizer fails to converge.
>
> I am trying to calibrate the Heston model for just one maturity, and to the
> prices, not to the volatilities. I think the problem might lie in the set up
> of the calibration helper and term structure objects. I also tried with some
> reference data/prices, and in the cost function of my optimizer, the
> "problem->values(parameters)" gave wrong prices. I would appreciate, if you
> have time, if you could check my code for errors.
I just had a quick look at the setup (I didn't run the code) and there's
a problem. (Incidentally, that's one that returns over and over and
keeps fooling people. We'll have to do something about it some time.)
Anyway, if you do:
> //Days to maturity
> Period maturity(dayCounter.dayCount(evaluationDate, expiryDate), Days);
and
> //Create helper for Heston calibration
> boost::shared_ptr<CalibrationHelper> option(new
> HestonModelHelper(maturity, calendar, s0->value(), X[i], vol, riskFreeTS,
> dividendTS, false));
You'll end up with the wrong expiration dates for the helpers, because
maturity (which is a period of n calendar days) will be interpreted by
the helper as a number of business days instead. May you try replacing
the first by
Period maturity(calendar.businessDaysBetween(evaluationDate,
expiryDate), Days);
and see what happens?
Luigi
--
Green's Law of Debate:
Anything is possible if you don't know what you're talking about.
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