QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
LPP3HestonExpansion Class Reference

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

+ Inheritance diagram for LPP3HestonExpansion:

Public Member Functions

 LPP3HestonExpansion (Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term)
 
virtual Real impliedVolatility (Real strike, Real forward) const
 

Detailed Description

Lorig Pagliarani Pascucci expansion of order-3 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with different strikes. The formula is also available in the Mathematica notebook from the authors at http://explicitsolutions.wordpress.com/