Does anyone have experience with the Python QuantLib function HestonBlackVolSurface
?
I'm trying to produce a 3D plot of the volatility surface as done in the example
http://gouthamanbalaraman.com/blog/volatility-smile-heston-model-calibration-quantlib-python.html
Here is my attempt, based on the data of the example
import QuantLib as quant
heston_vol_surface = quant.HestonBlackVolSurface(
quant.HestonModelHandle(model),
quant.AnalyticHestonEngine.Gatheral)
strikes_grid = np.arange(strikes[0], strikes[-1],10)
expiry = 1.0
implied_vols = [heston_vol_surface.blackVol(expiry, s)
for s in strikes_grid]
I understand that I need to pass the the volatility term structure, but my knowledge of QuantLib is too limited right now. Thanks for you help.