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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2005 Klaus Spanderen
Copyright (C) 2015 Peter Caspers
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file hestonmodelhelper.hpp
\brief Heston-model calibration helper
*/
#ifndef quantlib_heston_option_helper_hpp
#define quantlib_heston_option_helper_hpp
#include <ql/models/calibrationhelper.hpp>
#include <ql/instruments/vanillaoption.hpp>
namespace QuantLib {
//! calibration helper for Heston model
class HestonModelHelper : public BlackCalibrationHelper {
public:
HestonModelHelper(const Period& maturity,
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,
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 override {}
void performCalculations() const override;
Real modelValue() const override;
Real blackPrice(Real volatility) const override;
Time maturity() const { calculate(); return tau_; }
private:
const Period maturity_;
const Calendar calendar_;
const Handle<Quote> s0_;
const Real strikePrice_;
const Handle<YieldTermStructure> riskFreeRate_;
const Handle<YieldTermStructure> dividendYield_;
mutable Date exerciseDate_;
mutable Time tau_;
mutable Option::Type type_;
mutable ext::shared_ptr<VanillaOption> option_;
};
}
#endif
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