Hello Gaurav,
What exactly do you mean by calculating
option volatility using Heston model? Do you want to calculate vega
sensitivities in the Heston Model? Or do you want to calculate implied
volatilities from a given Heston Model for a special option? Or do you just
want to calibrate the Heston model?
In the Heston Model you have 5 parameters
that you can fit (in Quantlib this would be: v0, theta, kappa, sigma and
rho; see documentation). In general you calibrate these parameters to the
market implied volatility surface. Once done so you can use the Heston Model to
calculate your option prices and sensitivities.
I can help you with Heston model, since I gained
quite a bit experience with heston models in Quantlib. But for the beginning, I
would recommend you to have a look at the Quantlib TestSuit. There is a Class
called hestonmodel.cpp There you can find already a lot.
Regards,
Michael
From: johari_gaurav
[mailto:[hidden email]]
Sent: Donnerstag,
To:
[hidden email]
Subject: [Quantlib-users]
Calculating Volatility using heston Model
Hi, I am new to Quant lib and now confused with big set of classes and
structures. My aim is to calculate option volatility using Heston model. I have
all other data related like stirke price, dividend, option price etc. I want to
calculate it for both European and American options. Could some one point me to
any sample code, which can help me in this regard. Thanks, Gaurav
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