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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

 Copyright (C) 2005 Klaus Spanderen
 Copyright (C) 2007 StatPro Italia srl

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.

#include <ql/models/equity/hestonmodelhelper.hpp>
#include <ql/pricingengines/blackformula.hpp>
#include <ql/processes/hestonprocess.hpp>
#include <ql/instruments/payoffs.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/exercise.hpp>

namespace QuantLib {

                              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)
    : CalibrationHelper(volatility, riskFreeRate, calibrateVolatility),
                               riskFreeRate->referenceDate(), exerciseDate_)),
      s0_(s0), strikePrice_(strikePrice) {

        boost::shared_ptr<StrikedTypePayoff> payoff(
                          new PlainVanillaPayoff(Option::Call, strikePrice_));

        boost::shared_ptr<Exercise> exercise(
                                         new EuropeanExercise(exerciseDate_));

        option_ = boost::shared_ptr<VanillaOption>(
                           new VanillaOption(payoff, exercise));

        marketValue_ = blackPrice(volatility->value());

00059     Real HestonModelHelper::modelValue() const {
        return option_->NPV();

    Real HestonModelHelper::blackPrice(Real sigma) const {
        const Real volatility = sigma*std::sqrt(maturity());
        return blackFormula(Option::Call,


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