HestonCosCalibrator

Fits the five Heston parameters (v0, kappa, theta, xi, rho) to a grid of European option quotes by minimising the sum of squared price residuals, every model price coming from CosMethod. Deterministic and fast — a full surface fit is a fraction of a second — which is why the transform route is the calibration counterpart to the Monte-Carlo models.

View source ↗Full module reference on javadoc.io ↗

Methods

static Result calibrate(double spot, double rate, List<Quote> quotes, double[] start)

static double[] defaultStart(double atmVariance)

A reasonable cold start for equity-index data.