QuantLib_HestonExpansionEngine man page

HestonExpansionEngine — Heston-model engine for European options based on analytic expansions.

Synopsis

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

Inherits GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >.

Public Types

enum HestonExpansionFormula { LPP2, LPP3, Forde }

Public Member Functions

HestonExpansionEngine (const boost::shared_ptr< HestonModel > &model, HestonExpansionFormula formula)

void calculate () const

Size numberOfEvaluations () const

Additional Inherited Members

Detailed Description

Heston-model engine for European options based on analytic expansions.

References:

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

M Lorig, S Pagliarani, A Pascucci, Explicit implied vols for multifactor local-stochastic vol models arXiv preprint arXiv:1306.5447v3, 2014 - arxiv.org

Author

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Referenced By

HestonExpansionEngine(3) is an alias of QuantLib_HestonExpansionEngine(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib