HestonModelHelper Class Reference
#include <ql/models/equity/hestonmodelhelper.hpp>
Inheritance diagram for HestonModelHelper:

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 > ÷ndYield, 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 |
Time | maturity () const |