HestonExpansion Class Reference

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

Inheritance diagram for HestonExpansion:

Public Member Functions
virtual Real	impliedVolatility (Real strike, Real forward) const =0

Detailed Description

Interface to represent some Heston expansion formula. During calibration, it would typically be initialized once per implied volatility surface slice, then calls for each surface strike to impliedVolatility(strike, forward) would be performed.