fix: heston model calibration

Author: dancixx

src/quant/calibration.rs

@@ -1,3 +1,15 @@
+use nalgebra::DVector;
+
+use crate::quant::CalibrationLossScore;
+
 pub mod bsm;
-pub mod heston;
 pub mod sabr;
+pub mod heston;
+
+#[derive(Clone, Debug)]
+pub struct CalibrationHistory<T> {
+  pub residuals: DVector<f64>,
+  pub call_put: DVector<(f64, f64)>,
+  pub params: T,
+  pub loss_scores: CalibrationLossScore,
+}

src/quant/calibration/bsm.rs

@@ -5,13 +5,12 @@ use levenberg_marquardt::{LeastSquaresProblem, LevenbergMarquardt};
 use nalgebra::{DMatrix, DVector, Dyn, Owned};
 
 use crate::quant::{
+  calibration::CalibrationHistory,
   pricing::bsm::{BSMCoc, BSMPricer},
   r#trait::{CalibrationLossExt, PricerExt},
   CalibrationLossScore, OptionType,
 };
 
-use super::heston::CalibrationHistory;
-
 #[derive(Clone, Debug)]
 pub struct BSMParams {
   /// Implied volatility