Calibration of Heston Stochastic Local Volatility Models

We managed to finalise the work on the Heston stochastic local volatility model calibration. The latest state is available on github. The implementation details would be too comprehensive for a blog entry. We’ve summarised them in a separate document.

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8 thoughts on “Calibration of Heston Stochastic Local Volatility Models

  1. Hello, I am using QuantLib-1.6.2 which is from September 8th, 2015. I believe the Heston SLV implementation is not included there. How could I add it to my quantlib? Thank you very much.

  2. Thank you very much. I downloaded the zip file, From the zip file I used QuantLib_vc14 to create the quantlib library. I then tried to build C:\Users\acer\Desktop\QuantLib-1.6.2\quantlib-slv\QuantLib\ql\experimental\models\hestonlsvmodel.cpp but I receive a long list of errors.

    Severity Code Description Project File Line
    Error LNK1120 42 unresolved externals ConsoleApplication1 C:\Users\acer\Desktop\QuantLib-1.6.2\Projects\ConsoleApplication1\Debug\ConsoleApplication1.exe 1

    Severity Code Description Project File Line
    Error LNK2001 unresolved external symbol “public: virtual char const * __thiscall QuantLib::Error::what(void)const ” (?what@Error@QuantLib@@UBEPBDXZ) ConsoleApplication1 C:\Users\acer\Desktop\QuantLib-1.6.2\Projects\ConsoleApplication1\ConsoleApplication1\Source.obj 1

    Severity Code Description Project File Line
    Error LNK2019 unresolved external symbol “public: class QuantLib::Disposable __thiscall QuantLib::FdmHestonGreensFct::get(double,enum QuantLib::FdmHestonGreensFct::Algorithm)const ” (?get@FdmHestonGreensFct@QuantLib@@QBE?AV?$Disposable@VArray@QuantLib@@@2@NW4Algorithm@12@@Z) referenced in function “protected: virtual void __thiscall QuantLib::HestonSLVModel::performCalculations(void)const ” (?performCalculations@HestonSLVModel@QuantLib@@MBEXXZ) ConsoleApplication1 C:\Users\acer\Desktop\QuantLib-1.6.2\Projects\ConsoleApplication1\ConsoleApplication1\Source.obj 1

    And many more. When I try to build an example from the example folder it works fine. Also, building the hestonslvmodel.cpp in the test suit returns me an error. I would appreciate your help.

  3. The error I receive when building the hestonslvmodel.cpp in the test-suite is:

    Severity Code Description Project File Line
    Error LNK1104 cannot open file ‘libboost_unit_test_framework-vc140-mt-gd-1_59.lib’ testsuite C:\Users\acer\Desktop\QuantLib-1.6.2\quantlib-slv\QuantLib\test-suite\LINK 1

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