FdHestonVanillaEngine Class Reference

Finite-differences Heston vanilla option engine. More...

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

Inheritance diagram for FdHestonVanillaEngine:

Public Member Functions
	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)
	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, DividendSchedule dividends, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)
	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)
	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, DividendSchedule dividends, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)
void	calculate () const override
void	update () override
void	enableMultipleStrikesCaching (const std::vector< Real > &strikes)
FdmSolverDesc	getSolverDesc (Real equityScaleFactor) const
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
Public Types inherited from Observer
typedef set_type::iterator	iterator
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

Finite-differences Heston vanilla option engine.

Tests

the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.