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Published 20 hours ago • verified publisher icon grinisrit

Bug in Heston calibration (but probably doesn't cause incorrect computations)

Open mmssss opened this issue 2 months ago • 0 comments

https://github.com/grinisrit/noa/blob/65bcd49da9f083c028eb0a518de1b8d17512e0c3/docs/quant/pyquant/heston.py#L313

Function self._jac_hes() should take grid variable of type StrikesMaturitiesGrid, instead of market_chain variable of type VolSurfaceChainSpace.

This bug probably doesn't cause incorrect computations because StrikesMaturitiesGrid object is constructed from VolSurfaceChainSpace object and essentially contains a subset of its variables, but it still should be fixed.

mmssss avatar Jun 20 '24 11:06 mmssss