analytic piecewise constant time dependent Heston-model engine More...
#include <ql/pricingengines/vanilla/analyticptdhestonengine.hpp>
Public Types | |
enum | ComplexLogFormula { Gatheral , AndersenPiterbarg } |
typedef AnalyticHestonEngine::Integration | Integration |
![]() | |
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 |
![]() | |
GenericModelEngine (const Handle< PiecewiseTimeDependentHestonModel > &model=Handle< PiecewiseTimeDependentHestonModel >()) | |
GenericModelEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model) | |
![]() | |
PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
![]() | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
![]() | |
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 | |
![]() | |
Handle< PiecewiseTimeDependentHestonModel > | model_ |
![]() | |
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