QuantLib 0.3.11 http://quantlib.org Getting started Introduction Project overview Where to get QuantLib Installation Configuration Usage Frequently asked questions Version history Additional resources The QuantLib group Copyright and license Reference manual Modules Class Hierarchy Compound List File List Compound Members File Members Todo List Known Bugs Test Suite Deprecated Features Examples

HestonModelHelper Class Reference #include <ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp> Inheritance diagram for HestonModelHelper: [legend]List of all members. Detailed Description calibration helper for Heston model 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, bool calibrateVolatility=false) void  addTimesTo (std::list< Time > &) const Real  modelValue () const   returns the price of the instrument according to the model Real  blackPrice (Real volatility) const Real  calibrationError ()   returns the error resulting from the model valuation Time  maturity () const

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