LocalVol Model Calibration

Model: Heston
AssetClass: Equity
CMPrecomputed: N=4096 alpha=1.5 gridSpace=0.25 simpsonIntegrand=1
initialGuessHeston: {2.75, 0.105, 0.3, -0.5, 0.155, }
calibration parameters: tolerance=0.001 maxInterance=40
minimizationCriterionHeston(sum of (pricesHeston[i] - optionMidMarket[i])^2) :
0.0445785 0.129882 0.0258637 0.43321 0.147168 0.0445785 0.0445785 0.041578 0.0477445 0.31191 0.0478051 0.0570418 0.206942 0.0258637 0.0258637 0.0274213 0.0244301 0.19001 0.238198 0.0641072 0.204705 0.0244301 0.0244301 0.200742 0.234059 0.0641072 0.204705 0.200742 0.234059 0.0641072 0.204705 0.200742 0.234059 0.0326281 0.707258 0.0150321 0.0709306 0.0164544 0.0564509 0.0244301 0.0244301 0.0248939 0.0239806 0.00988413 0.0823992 0.0570418 0.206942 0.19001 0.238198 0.0300004 0.00831318 0.0336966 0.00712908 0.00988413 0.00988413 0.00944846 0.0103429 0.0314199 0.70917 0.00584104 0.0205707 0.00712908 0.00712908 0.00731485 0.00695488 0.0570418 0.206942 0.19001 0.238198 0.00584104 0.00584104 0.00570601 0.00598781 0.0506086 0.209182 0.0274213 0.0274213 0.179715 0.242356 0.00570601 0.00570601 0.0506086 0.209182 0.179715 0.242356 0.180439 0.235731 0.115332 0.329402 0.204705 0.204705 0.20545 0.20396 0.0737156 0.374276 0.00690845 0.00526252 0.00979278 0.0054993 0.00570601 0.00570601 0.00566359 0.00574972 0.00930032 0.00813349
Heston Params of this interation={1.58333,0.0838889,0.344444,-0.633333,0.187222,}
minimizationCriterionHeston(sum of (pricesHeston[i] - optionMidMarket[i])^2) :
0.0445785 0.129882 0.0258637 0.43321 0.147168 0.0445785 0.0445785 0.041578 0.0477445 0.31191 0.0478051 0.0570418 0.206942 0.0258637 0.0258637 0.0274213 0.0244301 0.19001 0.238198 0.0641072 0.204705 0.0244301 0.0244301 0.200742 0.234059 0.0641072 0.204705 0.200742 0.234059 0.0641072 0.204705 0.200742 0.234059 0.0326281 0.707258 0.0150321 0.0709306 0.0164544 0.0564509 0.0244301 0.0244301 0.0248939 0.0239806 0.00988413 0.0823992 0.0570418 0.206942 0.19001 0.238198 0.0300004 0.00831318 0.0336966 0.00712908 0.00988413 0.00988413 0.00944846 0.0103429 0.0314199 0.70917 0.00584104 0.0205707 0.00712908 0.00712908 0.00731485 0.00695488 0.0570418 0.206942 0.19001 0.238198 0.00584104 0.00584104 0.00570601 0.00598781 0.0506086 0.209182 0.0274213 0.0274213 0.179715 0.242356 0.00570601 0.00570601 0.0506086 0.209182 0.179715 0.242356 0.180439 0.235731 0.115332 0.329402 0.204705 0.204705 0.20545 0.20396 0.0737156 0.374276 0.00690845 0.00526252 0.00979278 0.0054993 0.00570601 0.00570601 0.00566359 0.00574972 0.00930032 0.00813349
Heston Params of this interation={1.58333,0.0838889,0.344444,-0.633333,0.187222,}
Calibration parameters:
Mean Absolute Percentage Error(MAPE): 7.0907%

Note: MAPE, Perfect calibration: 0 -10%, Better: 10% - 20%, Medium: 20%- 40%, Worse: > 40%

Coefficient of Variation of the Root Mean Square Error (CV - RMSE): 0.00337191

Note: CV-RMSE, Perfect calibration: 0 - 0.03, Better: 0.03 - 0.06, Medium: 0.06- 0.10, Worse: > 1.0

Pearson Correlation: 0.998484

Note: The Spearman rank correlation coefficient also ranges from -1 to 1, where 1 indicates a perfect positive correlation, -1 indicates a perfect negative correlation, and 0 indicates no correlation. The Spearman rank correlation coefficient is more suitable for handling non-linear relationships and data that do not follow a normal distribution.

Predicated & Actual Premium Comparision

Note: In the following comparison chart, the Y-axis represents the option premium data (Predicted Premiums) obtained from a model, while the X - axis represents the option premium data(Actual Premiums)

In Sample & Out Sample Comparision

Note: Utilizing a 85% sampling method, parameters are calculated to compare the predicted premiums (Predicted Premiums) and the actual option premiums (Actual Premiums) for both the In Sample and Out Sample scenarios. The comparison is visualized in a chart.