#include <hestonexpansionengine.hpp>
Inheritance diagram for HestonExpansion:
Collaboration diagram for HestonExpansion:
Public Member Functions | |
| virtual | ~HestonExpansion ()=default |
| virtual Real | impliedVolatility (Real strike, Real forward) const =0 |
Detailed Description
Interface to represent some Heston expansion formula. During calibration, it would typically be initialized once per implied volatility surface slice, then calls for each surface strike to impliedVolatility(strike, forward) would be performed.
Definition at line 68 of file hestonexpansionengine.hpp.
Constructor & Destructor Documentation
◆ ~HestonExpansion()
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virtualdefault |
Member Function Documentation
◆ impliedVolatility()
Implemented in LPP2HestonExpansion, LPP3HestonExpansion, and FordeHestonExpansion.