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, const Real s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)
 
void addTimesTo (std::list< Time > &) const
 
Real modelValue () const
 returns the price of the instrument according to the model
 
Real blackPrice (Real volatility) const
 Black price given a volatility.
 
Time maturity () const
 
- Public Member Functions inherited from CalibrationHelper
 CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError)
 
void update ()
 
Real marketValue () const
 returns the actual price of the instrument (from volatility)
 
virtual 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 boost::shared_ptr< PricingEngine > &engine)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Additional Inherited Members

- Public Types inherited from CalibrationHelper
enum  CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError }
 
- Protected Attributes inherited from CalibrationHelper
Real marketValue_
 
Handle< Quotevolatility_
 
Handle< YieldTermStructuretermStructure_
 
boost::shared_ptr< PricingEngineengine_
 

Detailed Description

calibration helper for Heston model