maturity (3) Linux Manual Page

QuantLib::HestonModelHelper – calibration helper for Heston model

Synopsis

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

Inherits QuantLib::CalibrationHelper.

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

Detailed Description

calibration helper for Heston model

Author

Generated automatically by Doxygen for QuantLib from the source code.