QuantLib_HestonModelHelper man page

HestonModelHelper — calibration helper for Heston model

Synopsis

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

Inherits CalibrationHelper.

Public Member Functions

HestonModelHelper (const Period &maturity, const Calendar &calendar, const Real s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)

HestonModelHelper (const Period &maturity, const Calendar &calendar, const Handle< Quote > &s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)

void addTimesTo (std::list< Time > &) const

void performCalculations () const

Real modelValue () const
returns the price of the instrument according to the model
Real blackPrice (Real volatility) const
Black or Bachelier price given a volatility.
Time maturity () const

Additional Inherited Members

Detailed Description

calibration helper for Heston model

Member Function Documentation

void performCalculations () const [virtual]

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from CalibrationHelper.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

HestonModelHelper(3) is an alias of QuantLib_HestonModelHelper(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib