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

Attributes:

calendar

extrapolation

reference_date

settlement_days

Methods

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)