heston.hpp File Reference

#include <complex>
#include <cstdint>
#include "quant/rng.hpp"

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Classes
struct	quant::heston::MarketParams
struct	quant::heston::McParams
struct	quant::heston::McResult
struct	quant::heston::Params

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.