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QuantLib::HestonModel – Heston model for the stochastic volatility of an asset.
Synopsis
#include <ql/models/equity/hestonmodel.hpp>Inherits QuantLib::CalibratedModel.
Inherited by BatesDoubleExpModel, and BatesModel.
Public Member Functions
HestonModel (const boost::shared_ptr< HestonProcess > &process)Real theta () const
Real kappa () const
Real sigma () const
Real rho () const
Real v0 () const
boost::shared_ptr< HestonProcess > process () const
Protected Member Functions
void generateArguments ()Protected Attributes
boost::shared_ptr< HestonProcess > process_Detailed Description
Heston model for the stochastic volatility of an asset.References:
Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.
Tests
- calibration is tested against known good values.