Making Heston Model available in QuantlibXL
Posted by
Bhavna J on
Oct 19, 2011; 9:45am
URL: http://quantlib.414.s1.nabble.com/Calculating-Volatility-using-heston-Model-tp8110p8115.html
Hello,
Can someone guide me on making Heston model available to QuantlibXL? Which files need to be added to quantlibAddIn etc.
I would like to calibrate the model in excel.
Thanks,
Bhavna
asasi wrote
Hi, I would be interested in the sample code you mentioned. thanks. AS
MH_quant wrote
--------- citation --------
If you like and you don't get along with the quantlib testsuit, I can
quickly create a little program for you that calibrates a heston model to
liquid market instruments, controls the calibration error and returns you
the Heston Model implied volatility for a arbitrary call option with some
random strike and maturity??
----------------------------