ExponentialFittingHestonEngine Class Reference

analytic Heston-model engine based on More...

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

Inheritance diagram for ExponentialFittingHestonEngine:

Public Types
typedef AnalyticHestonEngine::ComplexLogFormula	ControlVariate
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	ExponentialFittingHestonEngine (const ext::shared_ptr< HestonModel > &model, ControlVariate cv=ControlVariate::OptimalCV, Real scaling=Null< Real >(), Real alpha=-0.5)
void	calculate () const override
Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >
	GenericModelEngine (Handle< HestonModel > model=Handle< HestonModel >())
Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
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< HestonModel, VanillaOption::arguments, VanillaOption::results >
Handle< HestonModel >	model_
Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results >
VanillaOption::arguments	arguments_
VanillaOption::results	results_

Detailed Description

analytic Heston-model engine based on

References: D. Conte, L. Ixaru, B. Paternoster, G. Santomauro, 2014 Exponentially-fitted Gauss–Laguerre quadrature rule for integrals over an unbounded interval

For adaptation details see https://hpcquantlib.wordpress.com/2020/05/17/optimized-heston-model-integration-exponentially-fitted-gauss-laguerre-quadrature-rule/

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.