QuantLib_HestonExpansion man page

HestonExpansion —


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

Inherited by FordeHestonExpansion, LPP2HestonExpansion, and LPP3HestonExpansion.

Public Member Functions

virtual Real impliedVolatility (const Real strike, const Real forward) const =0

Detailed Description

Interface to represent some Heston expansion formula. During calibration, it would typically be initialized once per implied volatility surface slice, then calls for each surface strike to impliedVolatility(strike, forward) would be performed.


Generated automatically by Doxygen for QuantLib from the source code.


Fri Sep 23 2016 Version 1.8.1 QuantLib