#include <hestonexpansionengine.hpp>
Inheritance diagram for FordeHestonExpansion:
Collaboration 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 |
| Public Member Functions inherited from HestonExpansion | |
| virtual | ~HestonExpansion ()=default |
| virtual Real | impliedVolatility (Real strike, Real forward) const =0 |
Private Attributes | |
| Real | coeffs [5] |
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
Definition at line 125 of file hestonexpansionengine.hpp.
Constructor & Destructor Documentation
◆ FordeHestonExpansion()
Definition at line 198 of file hestonexpansionengine.cpp.
Member Function Documentation
◆ impliedVolatility()
Implements HestonExpansion.
Definition at line 216 of file hestonexpansionengine.cpp.
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Member Data Documentation
◆ coeffs
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private |
Definition at line 131 of file hestonexpansionengine.hpp.