HestonModelHelper Class Reference

calibration helper for Heston model More...

#include <ql/models/equity/hestonmodelhelper.hpp>

Inheritance diagram for HestonModelHelper:

List of all members.

Public Member Functions

 HestonModelHelper (const Period &maturity, const Calendar &calendar, const Real s0, const Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)
void addTimesTo (std::list< Time > &) const
Real modelValue () const
 returns the price of the instrument according to the model
Real blackPrice (Real volatility) const
 Black price given a volatility.
Time maturity () const

Detailed Description

calibration helper for Heston model