QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.5
Public Member Functions | List of all members
FordeHestonExpansion Class Reference

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

+ Inheritance diagram for FordeHestonExpansion:

Public Member Functions

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