quantlib.termstructures.volatility.equityfx.heston_black_vol_surface.HestonBlackVolSurface

class HestonBlackVolSurface(HestonModel heston_model, ComplexLogFormula cplx_log_formula=ComplexLogFormula.Gatheral, Integration integration=Integration.gaussLaguerre(164))

Bases: BlackVolTermStructure

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
blackForwardVariance(self, time_1, time_2, ...)	forward (at-the-money) variance
blackForwardVol(self, time_1, time_2, ...)	forward (at-the-money) volatility
blackVariance(self, maturity, Real strike, ...)	spot variance
blackVol(self, maturity, Real strike, ...)	spot volatility
option_date_from_tenor(self, Period period)
time_from_reference(self, Date date)

Attributes

calendar
extrapolation
reference_date
settlement_days