Question About Fitting The Heston Model To Market Data

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  • Heston-Model-Calibration

  • 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

    The QuantLib C++ library

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

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