QuantLib_HestonModel (3) - Linux Man Pages

QuantLib_HestonModel: Heston model for the stochastic volatility of an asset.

NAME

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.

Author

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