QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Public Member Functions | List of all members
LPP3HestonExpansion Class Reference

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

+ Inheritance diagram for LPP3HestonExpansion:

Public Member Functions

 LPP3HestonExpansion (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

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/