Searched refs:FordeHestonExpansion (Results 1 – 3 of 3) sorted by relevance
| /dports/finance/quantlib/QuantLib-1.20/ql/pricingengines/vanilla/ |
| H A D | hestonexpansionengine.hpp | 125 class FordeHestonExpansion : public HestonExpansion { class
127 FordeHestonExpansion(Real kappa, Real theta, Real sigma, Real v0, Real rho, Real term);
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| H A D | hestonexpansionengine.cpp | 94 FordeHestonExpansion expansion(model_->kappa(), model_->theta(), in calculate()
200 FordeHestonExpansion::FordeHestonExpansion(Real kappa, Real theta, in FordeHestonExpansion() function in QuantLib::FordeHestonExpansion
218 Real FordeHestonExpansion::impliedVolatility(const Real strike, in impliedVolatility()
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| /dports/finance/quantlib/QuantLib-1.20/test-suite/ |
| H A D | hestonmodel.cpp | 1598 ext::make_shared<FordeHestonExpansion>(kappa, theta, sigma, in testExpansionOnFordeReference()
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