QuantLib_LPP3HestonExpansion man page

LPP3HestonExpansion

Synopsis

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

Inherits HestonExpansion.

Public Member Functions

LPP3HestonExpansion (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

Detailed Description

Lorig Pagliarani Pascucci expansion of order-3 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/

Author

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Referenced By

The man page LPP3HestonExpansion(3) is an alias of QuantLib_LPP3HestonExpansion(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib