[Quantlib-dev] Heston formula

[Mark j. <mar...@gm...>]

We already have Heston code for various things including the Fourier
transform solution.
Is there a Black-type formula implemented?

What's the easiest to get the price of a caplet given the parameters of the
Heston model plus forward, strike, annuity?

thanks

mark



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Assoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is www.markjoshi.com