#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()

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

Definition at line 198 of file hestonexpansionengine.cpp.

Member Function Documentation

◆ impliedVolatility()

Real impliedVolatility	(	Real	strike,
		Real	forward
	)		const

overridevirtual

Implements HestonExpansion.

Definition at line 216 of file hestonexpansionengine.cpp.

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Member Data Documentation

◆ coeffs

Real coeffs[5]

private

Definition at line 131 of file hestonexpansionengine.hpp.

Public Member Functions