FordeHestonExpansion | quantlib.js

Small-time expansion from "The small-time smile and term structure of implied volatility under the Heston model" M Forde, A Jacquier, R Lee - SIAM Journal on Financial Mathematics, 2012 - SIAM

Hierarchy

HestonExpansion
- FordeHestonExpansion

Index

Constructors

constructor

new FordeHestonExpansion(kappa: Real, theta: Real, sigma: Real, v0: Real, rho: Real, term: Real): FordeHestonExpansion

- Defined in ql/pricingengines/vanilla/hestonexpansionengine.ts:1345
Parameters
- kappa: Real
- theta: Real
- sigma: Real
- v0: Real
- rho: Real
- term: Real
Returns FordeHestonExpansion

Properties

Private coeffs

coeffs: Real[] = new Array(5)

Methods

impliedVolatility

impliedVolatility(strike: Real, forward: Real): Real

Overrides HestonExpansion.impliedVolatility
- Defined in ql/pricingengines/vanilla/hestonexpansionengine.ts:1375
Parameters
- strike: Real
- forward: Real
Returns Real

Hierarchy

Index

Constructors

Properties

Methods

Constructors

constructor

Parameters

kappa: Real

theta: Real

sigma: Real

v0: Real

rho: Real

term: Real

Returns FordeHestonExpansion

Properties

Private coeffs

Methods

impliedVolatility

Parameters

strike: Real

forward: Real

Returns Real