analytic piecewise constant time dependent Heston-model engine More...
#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
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 |
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GenericModelEngine (const Handle< PiecewiseTimeDependentHestonModel > &model=Handle< PiecewiseTimeDependentHestonModel >()) | |
GenericModelEngine (const boost::shared_ptr< PiecewiseTimeDependentHestonModel > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observer (const Observer &) | |
Observer & | operator= (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 | |
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Handle < PiecewiseTimeDependentHestonModel > | model_ |
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