analytic piecewise constant time dependent Heston-model engine More...
#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
Inheritance diagram for AnalyticPTDHestonEngine:Public Types | |
| enum | ComplexLogFormula { Gatheral, AndersenPiterbarg } |
| typedef AnalyticHestonEngine::Integration | Integration |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| AnalyticPTDHestonEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations) | |
| AnalyticPTDHestonEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144) | |
| AnalyticPTDHestonEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8) | |
| void | calculate () const |
| Size | numberOfEvaluations () const |
| std::complex< Real > | chF (const std::complex< Real > &z, Time t) const |
| std::complex< Real > | lnChF (const std::complex< Real > &z, Time t) const |
Public Member Functions inherited from GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > | |
| GenericModelEngine (const Handle< PiecewiseTimeDependentHestonModel > &model=Handle< PiecewiseTimeDependentHestonModel >()) | |
| GenericModelEngine (const ext::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 PricingEngine | |
| virtual arguments * | getArguments () const =0 |
| virtual const results * | getResults () const =0 |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Additional Inherited Members | |
Protected Attributes inherited from GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results > | |
| Handle< PiecewiseTimeDependentHestonModel > | model_ |
Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| VanillaOption::arguments | arguments_ |
| VanillaOption::results | results_ |
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