QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.6
Public Member Functions | List of all members
HestonModelHelper Class Reference

calibration helper for Heston model More...

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

+ Inheritance diagram for HestonModelHelper:

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, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)
 
void addTimesTo (std::list< Time > &) const
 
Real modelValue () const
 returns the price of the instrument according to the model
 
Real blackPrice (Real volatility) const
 Black price given a volatility.
 
Time maturity () const
 
- Public Member Functions inherited from CalibrationHelper
 CalibrationHelper (const Handle< Quote > &volatility, const Handle< YieldTermStructure > &termStructure, CalibrationErrorType calibrationErrorType=RelativePriceError)
 
void performCalculations () const
 
Handle< Quotevolatility ()
 returns the volatility Handle
 
Real marketValue () const
 returns the actual price of the instrument (from volatility)
 
virtual Real calibrationError ()
 returns the error resulting from the model valuation
 
Volatility impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
 Black volatility implied by the model.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &engine)
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set< boost::shared_ptr< Observable > >::iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Public Types inherited from CalibrationHelper
enum  CalibrationErrorType { RelativePriceError, PriceError, ImpliedVolError }
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from CalibrationHelper
Real marketValue_
 
Handle< Quotevolatility_
 
Handle< YieldTermStructuretermStructure_
 
boost::shared_ptr< PricingEngineengine_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

calibration helper for Heston model