QuantLib
: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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ql
experimental
varianceoption
integralhestonvarianceoptionengine.hpp
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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
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/*
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Copyright (C) 2008 StatPro Italia srl
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This file is part of QuantLib, a free-software/open-source library
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for financial quantitative analysts and developers - http://quantlib.org/
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QuantLib is free software: you can redistribute it and/or modify it
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under the terms of the QuantLib license. You should have received a
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copy of the license along with this program; if not, please email
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<quantlib-dev@lists.sf.net>. The license is also available online at
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<http://quantlib.org/license.shtml>.
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This program is distributed in the hope that it will be useful, but WITHOUT
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ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
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FOR A PARTICULAR PURPOSE. See the license for more details.
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*/
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/*! \file integralhestonvarianceoptionengine.hpp
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\brief integral Heston-model variance-option engine
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*/
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#ifndef quantlib_integral_heston_variance_option_engine_hpp
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#define quantlib_integral_heston_variance_option_engine_hpp
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#include <
ql/experimental/varianceoption/varianceoption.hpp
>
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#include <
ql/processes/hestonprocess.hpp
>
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namespace
QuantLib
{
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//! integral Heston-model variance-option engine
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/*! This engine implements the approach described in
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<http://www.econ.univpm.it/recchioni/finance/w4/>.
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\ingroup forwardengines
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*/
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class
IntegralHestonVarianceOptionEngine
:
public
VarianceOption::engine
{
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public
:
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explicit
IntegralHestonVarianceOptionEngine
(ext::shared_ptr<HestonProcess>);
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void
calculate
()
const override
;
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private
:
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ext::shared_ptr<HestonProcess>
process_
;
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};
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}
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#endif
QuantLib::IntegralHestonVarianceOptionEngine
integral Heston-model variance-option engine
Definition:
integralhestonvarianceoptionengine.hpp:38
QuantLib::IntegralHestonVarianceOptionEngine::process_
ext::shared_ptr< HestonProcess > process_
Definition:
integralhestonvarianceoptionengine.hpp:44
QuantLib::IntegralHestonVarianceOptionEngine::calculate
void calculate() const override
Definition:
integralhestonvarianceoptionengine.cpp:366
QuantLib::VarianceOption::engine
base class for variance-option engines
Definition:
varianceoption.hpp:87
hestonprocess.hpp
Heston stochastic process.
QuantLib
Definition:
any.hpp:35
varianceoption.hpp
Variance option.
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