FordeHestonExpansion Class Reference

#include <ql/pricingengines/vanilla/hestonexpansionengine.hpp>

Inheritance diagram for FordeHestonExpansion:

Public Member Functions
	FordeHestonExpansion (Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term)
Real	impliedVolatility (Real strike, Real forward) const override

Detailed Description

Small-time expansion from "The small-time smile and term structure of implied volatility under the Heston model" M Forde, A Jacquier, R Lee - SIAM Journal on Financial Mathematics, 2012 - SIAM

Member Function Documentation

impliedVolatility()

Real impliedVolatility ( Real strike, Real forward ) const

overridevirtual

Implements HestonExpansion.