Calibration of Heston and SABR model


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!


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