QuantLib_FordeHestonExpansion man page

FordeHestonExpansion —


#include <ql/pricingengines/vanilla/hestonexpansionengine.hpp>

Inherits HestonExpansion.

Public Member Functions

FordeHestonExpansion (const Real kappa, const Real theta, const Real sigma, const Real v0, const Real rho, const Real term)

virtual Real impliedVolatility (const Real strike, const Real forward) const

Detailed Description

Small-time expansion from 'The small-time smile and term structure of implied volatility under the Heston model' M Forde, A Jacquier, R Lee - SIAM Journal on Financial Mathematics, 2012 - SIAM


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Referenced By

FordeHestonExpansion(3) is an alias of QuantLib_FordeHestonExpansion(3).

QuantLib Version 1.8.1 Fri Sep 23 2016