A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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#include <ql/pricingengines/vanilla/hestonexpansionengine.hpp>
Inheritance diagram for HestonExpansion:Public Member Functions | |
| virtual Real | impliedVolatility (Real strike, Real forward) const =0 |
Interface to represent some Heston expansion formula. During calibration, it would typically be initialized once per implied volatility surface slice, then calls for each surface strike to impliedVolatility(strike, forward) would be performed.
