BatesDetJumpEngine Class Reference

#include <batesengine.hpp>

Inheritance diagram for BatesDetJumpEngine:

Collaboration diagram for BatesDetJumpEngine:

Public Member Functions
	BatesDetJumpEngine (const ext::shared_ptr< BatesDetJumpModel > &model, Size integrationOrder=144)
	BatesDetJumpEngine (const ext::shared_ptr< BatesDetJumpModel > &model, Real relTolerance, Size maxEvaluations)
Public Member Functions inherited from BatesEngine
	BatesEngine (const ext::shared_ptr< BatesModel > &model, Size integrationOrder=144)
	BatesEngine (const ext::shared_ptr< BatesModel > &model, Real relTolerance, Size maxEvaluations)
Public Member Functions inherited from AnalyticHestonEngine
	AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations)
	AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Size integrationOrder=144)
	AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-25, Real alpha=-0.5)
void	calculate () const override
std::complex< Real >	chF (const std::complex< Real > &z, Time t) const
std::complex< Real >	lnChF (const std::complex< Real > &z, Time t) const
Size	numberOfEvaluations () const
Real	priceVanillaPayoff (const ext::shared_ptr< PlainVanillaPayoff > &payoff, const Date &maturity) const
Real	priceVanillaPayoff (const ext::shared_ptr< PlainVanillaPayoff > &payoff, Time maturity) 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 ()

Protected Member Functions
std::complex< Real >	addOnTerm (Real phi, Time t, Size j) const override
std::complex< Real >	addOnTerm (Real phi, Time t, Size j) const override
virtual std::complex< Real >	addOnTerm (Real phi, Time t, Size j) const

Additional Inherited Members
Public Types inherited from AnalyticHestonEngine
enum	ComplexLogFormula {   Gatheral , BranchCorrection , AndersenPiterbarg , AndersenPiterbargOptCV ,   AsymptoticChF , AngledContour , AngledContourNoCV , OptimalCV }
Public Types inherited from Observer
typedef set_type::iterator	iterator
Static Public Member Functions inherited from AnalyticHestonEngine
static void	doCalculation (Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &type, const Integration &integration, ComplexLogFormula cpxLog, const AnalyticHestonEngine *enginePtr, Real &value, Size &evaluations)
static ComplexLogFormula	optimalControlVariate (Time t, Real v0, Real kappa, Real theta, Real sigma, Real rho)
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

Definition at line 118 of file batesengine.hpp.

Constructor & Destructor Documentation

BatesDetJumpEngine() [1/2]

BatesDetJumpEngine ( const ext::shared_ptr< BatesDetJumpModel > &  model, Size  integrationOrder = 144  )

explicit

Definition at line 57 of file batesengine.cpp.

BatesDetJumpEngine() [2/2]

BatesDetJumpEngine	(	const ext::shared_ptr< BatesDetJumpModel > &	model,
		Real	relTolerance,
		Size	maxEvaluations
	)

Definition at line 62 of file batesengine.cpp.

Member Function Documentation

addOnTerm()

std::complex< Real > addOnTerm ( Real  phi, Time  t, Size  j  ) const

overrideprotectedvirtual

Reimplemented from BatesEngine.

Definition at line 67 of file batesengine.cpp.

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