Heston-Model-Calibration vs QuantLib

Heston-Model-Calibration

By AIMLModeling

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QuantLib

The QuantLib C++ library (by lballabio)

Math quantitative-finance

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quantlib.org

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Heston-Model-Calibration		QuantLib
	Project
1	Mentions	1
5	Stars	4,861
-	Growth	-
10.0	Activity	9.8
over 2 years ago	Latest Commit	7 days ago
Python	Language	C++
-	License	GNU General Public License v3.0 or later

The number of mentions indicates the total number of mentions that we've tracked plus the number of user suggested alternatives.
Stars - the number of stars that a project has on GitHub. Growth - month over month growth in stars.
Activity is a relative number indicating how actively a project is being developed. Recent commits have higher weight than older ones.
For example, an activity of 9.0 indicates that a project is amongst the top 10% of the most actively developed projects that we are tracking.

Heston-Model-Calibration

Posts with mentions or reviews of Heston-Model-Calibration. We have used some of these posts to build our list of alternatives and similar projects. The last one was on 2023-01-24.

Question About Fitting The Heston Model To Market Data
2 projects | /r/quant | 24 Jan 2023

I'm trying to understand how this calibration of the Heston model is done in Quantlib https://github.com/AIMLModeling/Heston-Model-Calibration/blob/main/HestonVolVisuals.py

QuantLib

Posts with mentions or reviews of QuantLib. We have used some of these posts to build our list of alternatives and similar projects. The last one was on 2023-01-24.

Question About Fitting The Heston Model To Market Data
2 projects | /r/quant | 24 Jan 2023

Check out the last 2 methods here https://github.com/lballabio/QuantLib/blob/master/ql/models/equity/hestonmodelhelper.cpp

What are some alternatives?

When comparing Heston-Model-Calibration and QuantLib you can also consider the following projects:

Eigen

ceres-solver - A large scale non-linear optimization library

GLM - OpenGL Mathematics (GLM)

TinyExpr - tiny recursive descent expression parser, compiler, and evaluation engine for math expressions

LibTomMath - LibTomMath is a free open source portable number theoretic multiple-precision integer library written entirely in C.

OpenBLAS - OpenBLAS is an optimized BLAS library based on GotoBLAS2 1.13 BSD version.

Xerus - A general purpose library for numerical calculations with higher order tensors, Tensor-Train Decompositions / Matrix Product States and other Tensor Networks

Mission : Impossible (AutoDiff) - A concise C++17 implementation of automatic differentiation (operator overloading)

CGal - The public CGAL repository, see the README below

ExprTK - C++ Mathematical Expression Parsing And Evaluation Library https://www.partow.net/programming/exprtk/index.html

metamath - Meta mathematics. Symbolic functions and derivatives.

Apophenia - A C library for statistical and scientific computing