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Public Member Functions | Private Member Functions | Private Attributes | List of all members
LPP3HestonExpansion Class Reference

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

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Public Member Functions

 LPP3HestonExpansion (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
 
Real z3 (Real t, Real kappa, Real theta, Real delta, Real y, Real rho) const
 

Private Attributes

Real coeffs [4]
 
Real ekt
 
Real e2kt
 
Real e3kt
 
Real e4kt
 

Detailed Description

Lorig Pagliarani Pascucci expansion of order-3 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 102 of file hestonexpansionengine.hpp.

Constructor & Destructor Documentation

◆ LPP3HestonExpansion()

LPP3HestonExpansion ( Real  kappa,
Real  theta,
Real  sigma,
Real  v0,
Real  rho,
Real  term 
)

Definition at line 721 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 733 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 224 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 422 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 597 of file hestonexpansionengine.cpp.

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◆ z3()

Real z3 ( Real  t,
Real  kappa,
Real  theta,
Real  delta,
Real  y,
Real  rho 
) const
private

Definition at line 660 of file hestonexpansionengine.cpp.

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Member Data Documentation

◆ coeffs

Real coeffs[4]
private

Definition at line 108 of file hestonexpansionengine.hpp.

◆ ekt

Real ekt
private

Definition at line 109 of file hestonexpansionengine.hpp.

◆ e2kt

Real e2kt
private

Definition at line 109 of file hestonexpansionengine.hpp.

◆ e3kt

Real e3kt
private

Definition at line 109 of file hestonexpansionengine.hpp.

◆ e4kt

Real e4kt
private

Definition at line 109 of file hestonexpansionengine.hpp.