heston.cpp File Reference

#include "quant/heston.hpp"
#include "quant/black_scholes.hpp"
#include "quant/math.hpp"
#include "quant/stats.hpp"
#include <pcg_random.hpp>
#include <algorithm>
#include <cmath>
#include <complex>
#include <limits>
#include <numbers>
#include <random>
#include <vector>

Include dependency graph for heston.cpp:

Namespaces
namespace	quant
	Barrier option primitives and configuration.
namespace	quant::heston
	Heston model: analytic European call and QE Monte Carlo.

Functions
double	quant::heston::call_analytic (const MarketParams &mkt, const Params &h)
McResult	quant::heston::call_qe_mc (const McParams &p)
std::complex< double >	quant::heston::characteristic_function (double u, const MarketParams &mkt, const Params &h)
	Risk-neutral characteristic function φ(u) = E[e^{iu ln S_T}].
double	quant::heston::implied_vol_call (const MarketParams &mkt, const Params &h)
	Black–Scholes implied volatility implied by the Heston analytic call price.