QuantLib_HestonExpansion man page
Inherited by FordeHestonExpansion, LPP2HestonExpansion, and LPP3HestonExpansion.
Public Member Functions
virtual Real impliedVolatility (const Real strike, const Real forward) const =0
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.
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