We have set up an object oriented framework covering advanced models such as Heston, Bates, VG, NIG or stochastic volatility Levy models.
We have included the forward characteristic functions which makes it possible to calibrate to standard but also to forward start options with Lewis, Carr-Madan, BS Carr-Madan or Cosine methods.
All the stuff is object oriented and can be extended by the user.
All is described in our book!
That is nice. OO for all advanced models. Like the fwd start stuff. It works!
Calibration works well even if I only wish to calibrate to certain model parameters, e.g. v0 and vLong in Heston...
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