IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this software component

HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile

Listed author(s):
  • Agnieszka Janek

    (Wroclaw University of Technology)

  • Rafal Weron


    (Wroclaw University of Technology)

HESTONVANILLAFITSMILE returns initial volatility V0, vol of vol VV, mean reversion KAPPA, long-run mean THETA, correlation RHO, vector of Garman-Kohlhagen implied volatilities IV and a sum of squared errors SSE given a vector of spot delta values DELTA, vector of the market implied volatilities MARKETVOLS, spot price SPOT, domestic and foreign interest rates RD and RF, time to maturity (in years) TAU and option type (Call/Put).

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL:
File Function: program file
Download Restriction: no

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number M430004.

in new window

Programming language: MATLAB
Requires: MATLAB (tested on MATLAB ver. 7.9; in earlier versions of MATLAB instead of quadgk.m use quadva.m by L.F.Shampine, J. Computational and Applied Mathematics 211, 2008, 131-140), GARMANKOHLHAGEN, HESTONVANILLA (both available from SSC).
Date of creation: 27 Dec 2010
Handle: RePEc:boc:bocode:m430004
Contact details of provider: Postal:
Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA

Phone: 617-552-3670
Fax: +1-617-552-2308
Web page:

More information through EDIRC

Order Information: Web:

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:boc:bocode:m430004. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.