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
--
Quant Job Interview Questions and Answers is now out:
www.markjoshi.comAssoc Prof Mark Joshi
Centre for Actuarial Studies
University of Melbourne
My website is
www.markjoshi.com
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