Heston Stochastic Volatility Calibrator is a least-square calibrator of a Heston model via Levenberg-Marquardt.
The Heston model assumes that the underlying asset follows a Black-Scholes process with a stochastic volatility. The Heston model may include asset jumps and be piece-wise constant.
The Heston Stochastic Volatility Calibrator is applicable to any suite of simple European options written on a single asset. This includes equity and FX options and commodity options written on spot prices. The input option market prices and output calibrated option prices are entered in terms of Black-Scholes implied volatility.