25#ifndef quantlib_heston_option_helper_hpp
26#define quantlib_heston_option_helper_hpp
71 mutable ext::shared_ptr<VanillaOption>
option_;
Calibration helper class.
liquid Black76 market instrument used during calibration
Handle< Quote > volatility() const
returns the volatility Handle
Shared handle to an observable.
calibration helper for Heston model
void performCalculations() const override
Real blackPrice(Real volatility) const override
Black or Bachelier price given a volatility.
Real modelValue() const override
returns the price of the instrument according to the model
const Handle< YieldTermStructure > dividendYield_
const Handle< Quote > s0_
ext::shared_ptr< VanillaOption > option_
void addTimesTo(std::list< Time > &) const override
const Handle< YieldTermStructure > riskFreeRate_
virtual void calculate() const
Real Time
continuous quantity with 1-year units
Vanilla option on a single asset.