Tried to calibrate heston model given volatility surface. Using the example in Quantlib Python Cookbook, parameters were produced sucessfully. But what do modelValue() and marketValue() mean in HestonModelHelper, they are not the same as the one prcing by BSM model.
lballabio
commented
5 years ago
Tried to calibrate heston model given volatility surface. Using the example in Quantlib Python Cookbook, parameters were produced sucessfully. But what do modelValue() and marketValue() mean in HestonModelHelper, they are not the same as the one prcing by BSM model.