LPP2HestonExpansion Class Reference

#include <hestonexpansionengine.hpp>

Inheritance diagram for LPP2HestonExpansion:

Collaboration diagram for LPP2HestonExpansion:

Public Member Functions
	LPP2HestonExpansion (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 Member Functions
Real	z0 (Real t, Real kappa, Real theta, Real delta, Real y, Real rho) const
Real	z1 (Real t, Real kappa, Real theta, Real delta, Real y, Real rho) const
Real	z2 (Real t, Real kappa, Real theta, Real delta, Real y, Real rho) const

Private Attributes
Real	coeffs [3]
Real	ekt
Real	e2kt
Real	e3kt
Real	e4kt

Detailed Description

Lorig Pagliarani Pascucci expansion of order-2 for the Heston model. During calibration, it can be initialized once per expiry, and called many times with different strikes. The formula is also available in the Mathematica notebook from the authors at http://explicitsolutions.wordpress.com/

Definition at line 80 of file hestonexpansionengine.hpp.

Constructor & Destructor Documentation

LPP2HestonExpansion()

LPP2HestonExpansion	(	Real	kappa,
		Real	theta,
		Real	sigma,
		Real	v0,
		Real	rho,
		Real	term
	)

Definition at line 106 of file hestonexpansionengine.cpp.

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Member Function Documentation

impliedVolatility()

Real impliedVolatility ( Real  strike, Real  forward  ) const

overridevirtual

Implements HestonExpansion.

Definition at line 121 of file hestonexpansionengine.cpp.

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z0()

Real z0 ( Real  t, Real  kappa, Real  theta, Real  delta, Real  y, Real  rho  ) const

private

Definition at line 128 of file hestonexpansionengine.cpp.

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z1()

Real z1 ( Real  t, Real  kappa, Real  theta, Real  delta, Real  y, Real  rho  ) const

private

Definition at line 167 of file hestonexpansionengine.cpp.

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z2()

Real z2 ( Real  t, Real  kappa, Real  theta, Real  delta, Real  y, Real  rho  ) const

private

Definition at line 184 of file hestonexpansionengine.cpp.

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Member Data Documentation

coeffs

Real coeffs[3]

private

Definition at line 86 of file hestonexpansionengine.hpp.

ekt

Real ekt

private

Definition at line 87 of file hestonexpansionengine.hpp.

e2kt

Real e2kt

private

Definition at line 87 of file hestonexpansionengine.hpp.

e3kt

Real e3kt

private

Definition at line 87 of file hestonexpansionengine.hpp.

e4kt

Real e4kt

private

Definition at line 87 of file hestonexpansionengine.hpp.