AnalyticPTDHestonEngine Class Reference

analytic piecewise constant time dependent Heston-model engine More...

#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>

Inheritance diagram for AnalyticPTDHestonEngine:

Public Member Functions

 AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations)
 
 AnalyticPTDHestonEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144)
 
void calculate () const
 
- Public Member Functions inherited from GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >
 GenericModelEngine (const Handle< PiecewiseTimeDependentHestonModel > &model=Handle< PiecewiseTimeDependentHestonModel >())
 
 GenericModelEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model)
 
- Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Attributes inherited from GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >
Handle
< PiecewiseTimeDependentHestonModel
model_
 

Detailed Description

analytic piecewise constant time dependent Heston-model engine

References:

   Heston, Steven L., 1993. A Closed-Form Solution for Options
   with Stochastic Volatility with Applications to Bond and
   Currency Options.  The review of Financial Studies, Volume 6,
   Issue 2, 327-343.

   J. Gatheral, The Volatility Surface: A Practitioner's Guide,
   Wiley Finance

   A. Elices, Models with time-dependent parameters using 
   transform methods: application to Heston’s model,
   http://arxiv.org/pdf/0708.2020