FdHestonBarrierEngine Class Reference

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

#include <fdhestonbarrierengine.hpp>

Inheritance diagram for FdHestonBarrierEngine:

Collaboration diagram for FdHestonBarrierEngine:

Public Member Functions
	FdHestonBarrierEngine (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)
	FdHestonBarrierEngine (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)
void	calculate () const override
Public Member Functions inherited from GenericModelEngine< HestonModel, BarrierOption::arguments, BarrierOption::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_
Size	tGrid_
Size	xGrid_
Size	vGrid_
Size	dampingSteps_
FdmSchemeDesc	schemeDesc_
ext::shared_ptr< LocalVolTermStructure >	leverageFct_
Real	mixingFactor_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from GenericModelEngine< HestonModel, BarrierOption::arguments, BarrierOption::results >
Handle< HestonModel >	model_
Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_
ResultsType	results_

Detailed Description

Finite-differences Heston barrier-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 45 of file fdhestonbarrierengine.hpp.

Constructor & Destructor Documentation

FdHestonBarrierEngine() [1/2]

FdHestonBarrierEngine ( 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 38 of file fdhestonbarrierengine.cpp.

FdHestonBarrierEngine() [2/2]

FdHestonBarrierEngine ( 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  )

explicit

Definition at line 52 of file fdhestonbarrierengine.cpp.

Member Function Documentation

calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 68 of file fdhestonbarrierengine.cpp.

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Member Data Documentation

dividends_

DividendSchedule dividends_

private

Definition at line 74 of file fdhestonbarrierengine.hpp.

tGrid_

Size tGrid_

private

Definition at line 75 of file fdhestonbarrierengine.hpp.

xGrid_

Size xGrid_

private

Definition at line 75 of file fdhestonbarrierengine.hpp.

vGrid_

Size vGrid_

private

Definition at line 75 of file fdhestonbarrierengine.hpp.

dampingSteps_

Size dampingSteps_

private

Definition at line 75 of file fdhestonbarrierengine.hpp.

schemeDesc_

FdmSchemeDesc schemeDesc_

private

Definition at line 76 of file fdhestonbarrierengine.hpp.

leverageFct_

ext::shared_ptr<LocalVolTermStructure> leverageFct_

private

Definition at line 77 of file fdhestonbarrierengine.hpp.

mixingFactor_

Real mixingFactor_

private

Definition at line 78 of file fdhestonbarrierengine.hpp.