calibration helper for Heston model More...
#include <hestonmodelhelper.hpp>
Inheritance diagram for HestonModelHelper:
Collaboration diagram for HestonModelHelper:
Public Member Functions | |
| HestonModelHelper (const Period &maturity, Calendar calendar, Real s0, Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError) | |
| HestonModelHelper (const Period &maturity, Calendar calendar, const Handle< Quote > &s0, Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > ÷ndYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError) | |
| void | addTimesTo (std::list< Time > &) const override |
| void | performCalculations () const override |
| Real | modelValue () const override |
| returns the price of the instrument according to the model More... | |
| Real | blackPrice (Real volatility) const override |
| Black or Bachelier price given a volatility. More... | |
| Time | maturity () const |
| Public Member Functions inherited from BlackCalibrationHelper | |
| BlackCalibrationHelper (Handle< Quote > volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0) | |
| void | performCalculations () const override |
| Handle< Quote > | volatility () const |
| returns the volatility Handle More... | |
| VolatilityType | volatilityType () const |
| returns the volatility type More... | |
| Real | marketValue () const |
| returns the actual price of the instrument (from volatility) More... | |
| virtual Real | modelValue () const =0 |
| returns the price of the instrument according to the model More... | |
| Real | calibrationError () override |
| returns the error resulting from the model valuation More... | |
| virtual void | addTimesTo (std::list< Time > ×) const =0 |
| Volatility | impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const |
| Black volatility implied by the model. More... | |
| virtual Real | blackPrice (Volatility volatility) const =0 |
| Black or Bachelier price given a volatility. More... | |
| void | setPricingEngine (const ext::shared_ptr< PricingEngine > &engine) |
| Public Member Functions inherited from LazyObject | |
| LazyObject () | |
| ~LazyObject () override=default | |
| void | update () override |
| bool | isCalculated () const |
| void | forwardFirstNotificationOnly () |
| void | alwaysForwardNotifications () |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
| 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 () |
| Public Member Functions inherited from CalibrationHelper | |
| virtual | ~CalibrationHelper ()=default |
| virtual Real | calibrationError ()=0 |
| returns the error resulting from the model valuation More... | |
Private Attributes | |
| const Period | maturity_ |
| const Calendar | calendar_ |
| const Handle< Quote > | s0_ |
| const Real | strikePrice_ |
| const Handle< YieldTermStructure > | riskFreeRate_ |
| const Handle< YieldTermStructure > | dividendYield_ |
| Date | exerciseDate_ |
| Time | tau_ |
| Option::Type | type_ |
| ext::shared_ptr< VanillaOption > | option_ |
Additional Inherited Members | |
| Public Types inherited from BlackCalibrationHelper | |
| enum | CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
| Protected Attributes inherited from BlackCalibrationHelper | |
| Real | marketValue_ |
| Handle< Quote > | volatility_ |
| ext::shared_ptr< PricingEngine > | engine_ |
| const VolatilityType | volatilityType_ |
| const Real | shift_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ = false |
| bool | frozen_ = false |
| bool | alwaysForward_ |
Detailed Description
calibration helper for Heston model
Definition at line 34 of file hestonmodelhelper.hpp.
Constructor & Destructor Documentation
◆ HestonModelHelper() [1/2]
| HestonModelHelper | ( | const Period & | maturity, |
| Calendar | calendar, | ||
| Real | s0, | ||
| Real | strikePrice, | ||
| const Handle< Quote > & | volatility, | ||
| const Handle< YieldTermStructure > & | riskFreeRate, | ||
| const Handle< YieldTermStructure > & | dividendYield, | ||
| BlackCalibrationHelper::CalibrationErrorType | errorType = BlackCalibrationHelper::RelativePriceError |
||
| ) |
◆ HestonModelHelper() [2/2]
| HestonModelHelper | ( | const Period & | maturity, |
| Calendar | calendar, | ||
| const Handle< Quote > & | s0, | ||
| Real | strikePrice, | ||
| const Handle< Quote > & | volatility, | ||
| const Handle< YieldTermStructure > & | riskFreeRate, | ||
| const Handle< YieldTermStructure > & | dividendYield, | ||
| BlackCalibrationHelper::CalibrationErrorType | errorType = BlackCalibrationHelper::RelativePriceError |
||
| ) |
Member Function Documentation
◆ addTimesTo()
|
overridevirtual |
Implements BlackCalibrationHelper.
Definition at line 56 of file hestonmodelhelper.hpp.
◆ performCalculations()
|
overridevirtual |
This method must implement any calculations which must be (re)done in order to calculate the desired results.
Reimplemented from BlackCalibrationHelper.
Definition at line 64 of file hestonmodelhelper.cpp.
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◆ modelValue()
|
overridevirtual |
returns the price of the instrument according to the model
Implements BlackCalibrationHelper.
Definition at line 80 of file hestonmodelhelper.cpp.
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◆ blackPrice()
Black or Bachelier price given a volatility.
Implements BlackCalibrationHelper.
Definition at line 86 of file hestonmodelhelper.cpp.
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◆ maturity()
| Time maturity | ( | ) | const |
Definition at line 60 of file hestonmodelhelper.hpp.
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Member Data Documentation
◆ maturity_
|
private |
Definition at line 62 of file hestonmodelhelper.hpp.
◆ calendar_
|
private |
Definition at line 63 of file hestonmodelhelper.hpp.
◆ s0_
Definition at line 64 of file hestonmodelhelper.hpp.
◆ strikePrice_
|
private |
Definition at line 65 of file hestonmodelhelper.hpp.
◆ riskFreeRate_
|
private |
Definition at line 66 of file hestonmodelhelper.hpp.
◆ dividendYield_
|
private |
Definition at line 67 of file hestonmodelhelper.hpp.
◆ exerciseDate_
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mutableprivate |
Definition at line 68 of file hestonmodelhelper.hpp.
◆ tau_
|
mutableprivate |
Definition at line 69 of file hestonmodelhelper.hpp.
◆ type_
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mutableprivate |
Definition at line 70 of file hestonmodelhelper.hpp.
◆ option_
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mutableprivate |
Definition at line 71 of file hestonmodelhelper.hpp.