HestonModelHelper Class Reference

#include <ql/models/equity/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
Time maturity () const