QuantLib: FordeHestonExpansion Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.20

Public Member Functions | List of all members
FordeHestonExpansion Class Reference

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

Inheritance diagram for FordeHestonExpansion:
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## Public Member Functions
| FordeHestonExpansion (Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term)
virtual Real | impliedVolatility (Real strike, Real forward) const

## 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