For a PhD research paper, I need to calibrate Heston. So far, I use
Dale Roberts R-Code: https://github.com/daleroberts/heston/blob/master/heston.r
for computing prices from which I invert IV using
As can be seen from the plotted smile, (deep) OTM data is not good. The problem can be traced down to the numerical instability of the Heston pricer which returns slightly negative and/or oscillating prices.
Hence, I am looking for software that
- prices Heston accurately also for OTM options
- should be free (poor PhD student in MathFinance)
- ideally in Python as the rest of my code is in Python
QuantLib (https://www.quantlib.org) seems like a solution but
- there is a ton of boilerplate code even for simple tasks and the documentation is not exactly friendly
- I need time to maturity as an input variable but it seems QuantLib only takes exact calendar days for the maturity.
I am also aware of Premia's (https://www.rocq.inria.fr/mathfi/Premia/index.html) available software but they also don't provide Python bindings.