QuantLib_HestonModel man page

HestonModel — Heston model for the stochastic volatility of an asset.


#include <ql/models/equity/hestonmodel.hpp>

Inherits CalibratedModel.

Inherited by BatesDoubleExpModel, and BatesModel.

Public Member Functions

HestonModel (const boost::shared_ptr< HestonProcess > &process)

Real theta () const

Real kappa () const

Real sigma () const

Real rho () const

Real v0 () const

boost::shared_ptr< HestonProcess > process () const

Protected Member Functions

void generateArguments ()

Protected Attributes

boost::shared_ptr< HestonProcess > process_

Additional Inherited Members

Detailed Description

Heston model for the stochastic volatility of an asset.


Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.


calibration is tested against known good values.

Examples: EquityOption.cpp.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

HestonModel(3) and kappa(3) are aliases of QuantLib_HestonModel(3).

QuantLib Version 1.8.1 Fri Sep 23 2016