Calibration of Heston and SABR model


#1

Does OpenGamma support calibration of stochastic volatilities to real market data?

It’d be great if you can provide path to source code / reference for that. Thanks!


#2

Yes, down at the analytics level you have HestonModelFitter in the first case and SABRModelFitter in the second (see HestonModelFitterTest SABRModelFitterTest for details).


#3

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