FdHestonHullWhiteVanillaEngine Class Reference

Finite-Differences Heston Hull-White Vanilla Option engine. More...

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

Inheritance diagram for FdHestonHullWhiteVanillaEngine:

Public Member Functions

 FdHestonHullWhiteVanillaEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhiteProcess > &hwProcess, Real corrEquityShortRate, Size tGrid=50, Size xGrid=100, Size vGrid=40, Size rGrid=20, Size dampingSteps=0, bool controlVariate=true, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
 
void calculate () const
 
void update ()
 
void enableMultipleStrikesCaching (const std::vector< Real > &strikes)
 
- Public Member Functions inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >
 GenericModelEngine (const boost::shared_ptr< HestonModel > &model)
 
- Public Member Functions inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
PricingEngine::arguments * getArguments () const
 
const PricingEngine::results * getResults () const
 
void reset ()
 
void update ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Public Attributes inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >
 __pad0__
 
- Protected Attributes inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >
Handle< HestonModelmodel_
 
- Protected Attributes inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >
DividendVanillaOption::arguments arguments_
 
DividendVanillaOption::results results_
 

Detailed Description

Finite-Differences Heston Hull-White Vanilla Option engine.

Tests:
the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black/Heston pricing.