Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
Public Member Functions | |
AnalyticH1HWEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoXV, Size integrationOrder=144) | |
AnalyticH1HWEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Real relTolerance, Size maxEvaluations) | |
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AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144) | |
AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations) | |
void | update () |
void | calculate () const |
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AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) | |
AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) | |
AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg) | |
Size | numberOfEvaluations () const |
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GenericModelEngine (const boost::shared_ptr< HestonModel > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (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 () |
Protected Member Functions | |
std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
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std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Additional Inherited Members | |
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enum | ComplexLogFormula { Gatheral, BranchCorrection } |
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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, const ComplexLogFormula cpxLog, const AnalyticHestonEngine *const enginePtr, Real &value, Size &evaluations) |
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__pad0__ | |
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const boost::shared_ptr < HullWhite > | hullWhiteModel_ |
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Handle< HestonModel > | model_ |
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VanillaOption::arguments | arguments_ |
VanillaOption::results | results_ |
Analytic Heston-Hull-White engine based on the H1-HW approximation.
This class is pricing a european option under the following process
References:
Lech A. Grzelak, Cornelis W. Oosterlee, On The Heston Model with Stochastic, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1382902
Lech A. Grzelak, Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity Financial Derivatives, http://repository.tudelft.nl/assets/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf