QuantLib_LPP2HestonExpansion man page
Public Member Functions
LPP2HestonExpansion (const Real kappa, const Real theta, const Real sigma, const Real v0, const Real rho, const Real term)
virtual Real impliedVolatility (const Real strike, const Real forward) const
Lorig Pagliarani Pascucci expansion of order-2 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with different strikes. The formula is also available in the Mathematica notebook from the authors at http://explicitsolutions.wordpress.com/
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LPP2HestonExpansion(3) is an alias of QuantLib_LPP2HestonExpansion(3).