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

#include <ql/pricingengines/vanilla/hestonexpansionengine.hpp>

+ Inheritance diagram for FordeHestonExpansion:

Public Member Functions

 FordeHestonExpansion (Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term)
 
virtual Real impliedVolatility (Real strike, Real forward) const
 

Detailed Description

Small-time expansion from "The small-time smile and term structure of implied volatility under the Heston model" M Forde, A Jacquier, R Lee - SIAM Journal on Financial Mathematics, 2012 - SIAM