quant::heston Namespace Reference

Heston model: analytic European call and QE Monte Carlo. More...

Classes
struct	MarketParams
struct	McParams
struct	McResult
struct	Params

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

Detailed Description

Heston model: analytic European call and QE Monte Carlo.

Function Documentation

call_analytic()

double quant::heston::call_analytic	(	const MarketParams &	mkt,
		const Params &	h
	)

call_qe_mc()

McResult quant::heston::call_qe_mc

(

const McParams &

p

)

characteristic_function()

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}].

implied_vol_call()

double quant::heston::implied_vol_call	(	const MarketParams &	mkt,
		const Params &	h
	)

Black–Scholes implied volatility implied by the Heston analytic call price.