HestonExpansionEngine Class Reference

Heston-model engine for European options based on analytic expansions. More...

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

Inheritance diagram for HestonExpansionEngine:

Public Types
enum	HestonExpansionFormula { LPP2 , LPP3 , Forde }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	HestonExpansionEngine (const ext::shared_ptr< HestonModel > &model, HestonExpansionFormula formula)
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

Heston-model engine for European options based on analytic expansions.

References:

M Forde, A Jacquier, R Lee, The small-time smile and term structure of implied volatility under the Heston model SIAM Journal on Financial Mathematics, 2012 - SIAM

M Lorig, S Pagliarani, A Pascucci, Explicit implied vols for multifactor local-stochastic vol models arXiv preprint arXiv:1306.5447v3, 2014 - arxiv.org

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.