QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
HestonModelHelper Class Reference

calibration helper for Heston model More...

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

+ Inheritance diagram for HestonModelHelper:

Public Member Functions

 HestonModelHelper (const Period &maturity, const Calendar &calendar, Real s0, Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
 
 HestonModelHelper (const Period &maturity, const Calendar &calendar, const Handle< Quote > &s0, Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::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
 
- Public Member Functions inherited from BlackCalibrationHelper
 BlackCalibrationHelper (const Handle< Quote > &volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
 
QL_DEPRECATED BlackCalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
 
Handle< Quotevolatility () const
 returns the volatility Handle
 
VolatilityType volatilityType () const
 returns the volatility type
 
Real marketValue () const
 returns the actual price of the instrument (from volatility)
 
Real calibrationError ()
 returns the error resulting from the model valuation
 
Volatility impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
 Black volatility implied by the model.
 
void setPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
void alwaysForwardNotifications ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Additional Inherited Members

- Public Types inherited from BlackCalibrationHelper
enum  CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError }
 
- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from BlackCalibrationHelper
Real marketValue_
 
Handle< Quotevolatility_
 
Handle< YieldTermStructuretermStructure_
 
ext::shared_ptr< PricingEngineengine_
 
const VolatilityType volatilityType_
 
const Real shift_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 
bool alwaysForward_
 

Detailed Description

calibration helper for Heston model

Member Function Documentation

◆ performCalculations()

void performCalculations ( ) const
virtual

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

Reimplemented from BlackCalibrationHelper.