Analytic Heston engine incl. stochastic interest rates. More...
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
Public Member Functions | |
AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144) | |
AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations) | |
void | update () |
void | calculate () const |
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AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) | |
AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) | |
AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg) | |
Size | numberOfEvaluations () const |
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GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
GenericModelEngine (const boost::shared_ptr< HestonModel > &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 () |
Protected Member Functions | |
std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Additional Inherited Members | |
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enum | ComplexLogFormula { Gatheral, BranchCorrection } |
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static void | doCalculation (Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &type, const Integration &integration, const ComplexLogFormula cpxLog, const AnalyticHestonEngine *const enginePtr, Real &value, Size &evaluations) |
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Handle< HestonModel > | model_ |
Analytic Heston engine incl. stochastic interest rates.
This class is pricing a european options under the following processes
References: Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't Panhuis, A Semi closed-from analytic pricing formula for call options in a hybrid Heston-Hull-White Model. A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)