#include <hestonexpansionengine.hpp>

Inheritance diagram for LPP3HestonExpansion:

Collaboration diagram for LPP3HestonExpansion:

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.

Here is the call graph for this function:

Member Function Documentation

◆ impliedVolatility()

Real impliedVolatility	(	Real	strike,
		Real	forward
	)		const

overridevirtual

Implements HestonExpansion.

Definition at line 733 of file hestonexpansionengine.cpp.