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
Generated automatically by Doxygen for QuantLib from the source code.
Referenced By
The man page LPP3HestonExpansion(3) is an alias of QuantLib_LPP3HestonExpansion(3).
Wed Feb 7 2018 Version 1.10.1 QuantLib