FdHestonVanillaEngine Class Reference

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

#include <fdhestonvanillaengine.hpp>

Inheritance diagram for FdHestonVanillaEngine:

Collaboration 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 >())
	GenericModelEngine (const ext::shared_ptr< HestonModel > &model)
Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType >
PricingEngine::arguments *	getArguments () const override
const PricingEngine::results *	getResults () const override
void	reset () override
void	update () override
Public Member Functions inherited from PricingEngine
	~PricingEngine () override=default
virtual arguments *	getArguments () const =0
virtual const results *	getResults () const =0
virtual void	reset ()=0
virtual void	calculate () const =0
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()

Private Attributes
DividendSchedule	dividends_
const Size	tGrid_
const Size	xGrid_
const Size	vGrid_
const Size	dampingSteps_
const FdmSchemeDesc	schemeDesc_
const ext::shared_ptr< LocalVolTermStructure >	leverageFct_
const ext::shared_ptr< FdmQuantoHelper >	quantoHelper_
const Real	mixingFactor_
std::vector< Real >	strikes_
std::vector< std::pair< VanillaOption::arguments, VanillaOption::results > >	cachedArgs2results_

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< ArgumentsType, ResultsType >
ArgumentsType	arguments_
ResultsType	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.

Definition at line 47 of file fdhestonvanillaengine.hpp.

Constructor & Destructor Documentation

FdHestonVanillaEngine() [1/4]

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  )

explicit

Definition at line 37 of file fdhestonvanillaengine.cpp.

FdHestonVanillaEngine() [2/4]

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
	)

Definition at line 52 of file fdhestonvanillaengine.cpp.

FdHestonVanillaEngine() [3/4]

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
	)

Definition at line 69 of file fdhestonvanillaengine.cpp.

FdHestonVanillaEngine() [4/4]

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
	)

Definition at line 85 of file fdhestonvanillaengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 175 of file fdhestonvanillaengine.cpp.

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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.

Reimplemented from GenericEngine< ArgumentsType, ResultsType >.

Definition at line 231 of file fdhestonvanillaengine.cpp.

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enableMultipleStrikesCaching()

void enableMultipleStrikesCaching

(

const std::vector< Real > &

strikes

)

Definition at line 238 of file fdhestonvanillaengine.cpp.

getSolverDesc()

FdmSolverDesc getSolverDesc

(

Real

equityScaleFactor

)

const

Definition at line 103 of file fdhestonvanillaengine.cpp.

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Member Data Documentation

dividends_

DividendSchedule dividends_

private

Definition at line 103 of file fdhestonvanillaengine.hpp.

tGrid_

const Size tGrid_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

xGrid_

const Size xGrid_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

vGrid_

const Size vGrid_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

dampingSteps_

const Size dampingSteps_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 105 of file fdhestonvanillaengine.hpp.

leverageFct_

const ext::shared_ptr<LocalVolTermStructure> leverageFct_

private

Definition at line 106 of file fdhestonvanillaengine.hpp.

quantoHelper_

const ext::shared_ptr<FdmQuantoHelper> quantoHelper_

private

Definition at line 107 of file fdhestonvanillaengine.hpp.

mixingFactor_

const Real mixingFactor_

private

Definition at line 108 of file fdhestonvanillaengine.hpp.

strikes_

std::vector<Real> strikes_

private

Definition at line 110 of file fdhestonvanillaengine.hpp.

cachedArgs2results_

std::vector<std::pair<VanillaOption::arguments, VanillaOption::results> > cachedArgs2results_

mutableprivate

Definition at line 113 of file fdhestonvanillaengine.hpp.