HestonModelHelper Class Reference

#include <ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp>

Inheritance diagram for HestonModelHelper:

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Detailed Description

calibration helper for Heston model


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, bool calibrateVolatility=false)
void addTimesTo (std::list< Time > &) const
Real modelValue () const
 returns the price of the instrument according to the model
Real blackPrice (Real volatility) const
Real calibrationError ()
 returns the error resulting from the model valuation
Time maturity () const


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