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Heston Calibration Engine

Stochastic Volatility · Carr-Madan FFT · DE + Levenberg-Marquardt

C++20 FFTW3

Data Source

True Heston Parameters

These are the "ground truth" parameters. Calibration should recover them.

v₀ — initial variance (σ₀ = √v₀)

κ — mean-reversion speed

θ — long-run variance (σ∞ = √θ)

ξ — vol-of-vol

ρ — spot-vol correlation

Ready — click Run Calibration

Model

dS = r S dt + √v S dW₁

dv = κ(θ−v) dt + ξ√v dW₂

Feller: 2κθ > ξ²

Pricer

Carr-Madan FFT (N=4096)

Albrecher rotation-corrected CF

Optimizer

Phase 1: DE/rand/1/bin

Phase 2: Levenberg-Marquardt

📈

No calibration run yet

Configure parameters and click Run Calibration