HestonModelHelper Class Reference

calibration helper for Heston model More...

#include <ql/models/equity/hestonmodelhelper.hpp>

Inheritance diagram for HestonModelHelper:

List of all members.

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, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)
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


Detailed Description

calibration helper for Heston model