calibration helper for Heston model More...
#include <ql/models/equity/hestonmodelhelper.hpp>
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 > ÷ndYield, 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 > ÷ndYield, 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 |
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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< Quote > | volatility () 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) |
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void | update () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (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 | |
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enum | CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError } |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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virtual void | calculate () const |
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Real | marketValue_ |
Handle< Quote > | volatility_ |
Handle< YieldTermStructure > | termStructure_ |
ext::shared_ptr< PricingEngine > | engine_ |
const VolatilityType | volatilityType_ |
const Real | shift_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
calibration helper for Heston model
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virtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Reimplemented from BlackCalibrationHelper.