Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
Inheritance diagram for AnalyticH1HWEngine:
Collaboration diagram for AnalyticH1HWEngine:
Public Member Functions | |
| AnalyticH1HWEngine (const ext::shared_ptr< HestonModel > &model, const ext::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Size integrationOrder=144) | |
| AnalyticH1HWEngine (const ext::shared_ptr< HestonModel > &model, const ext::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Real relTolerance, Size maxEvaluations) | |
| Public Member Functions inherited from AnalyticHestonHullWhiteEngine | |
| AnalyticHestonHullWhiteEngine (const ext::shared_ptr< HestonModel > &hestonModel, ext::shared_ptr< HullWhite > hullWhiteModel, Size integrationOrder=144) | |
| AnalyticHestonHullWhiteEngine (const ext::shared_ptr< HestonModel > &model, ext::shared_ptr< HullWhite > hullWhiteModel, Real relTolerance, Size maxEvaluations) | |
| void | update () override |
| void | calculate () const override |
| 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-8) | |
| std::complex< Real > | chF (const std::complex< Real > &z, Time t) const |
| std::complex< Real > | lnChF (const std::complex< Real > &z, Time t) const |
| void | calculate () const override |
| Size | numberOfEvaluations () 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 () | |
| 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 |
| Protected Member Functions inherited from AnalyticHestonHullWhiteEngine | |
| std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const override |
| virtual std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Private Attributes | |
| const Real | rhoSr_ |
Additional Inherited Members | |
| Public Types inherited from AnalyticHestonEngine | |
| enum | ComplexLogFormula { Gatheral , BranchCorrection , AndersenPiterbarg , AndersenPiterbargOptCV , AsymptoticChF , 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 AnalyticHestonHullWhiteEngine | |
| const ext::shared_ptr< HullWhite > | hullWhiteModel_ |
| 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
Analytic Heston-Hull-White engine based on the H1-HW approximation.
This class is pricing a european option under the following process
\[ \begin{array}{rcl} dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \\ dW_1 dW_2 &=& \rho_{S,v} dt, \rho_{S,r} >= 0 \\ dW_1 dW_3 &=& \rho_{S.r} dt \\ dW_2 dW_3 &=& 0 dt \\ \end{array} \]
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
- Tests:
- the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's analytic Heston, the Black-Scholes-Merton Hull-White engine and the finite difference Heston-Hull-White engine
Definition at line 68 of file analytich1hwengine.hpp.
Constructor & Destructor Documentation
◆ AnalyticH1HWEngine() [1/2]
| AnalyticH1HWEngine | ( | const ext::shared_ptr< HestonModel > & | model, |
| const ext::shared_ptr< HullWhite > & | hullWhiteModel, | ||
| Real | rhoSr, | ||
| Size | integrationOrder = 144 |
||
| ) |
Definition at line 138 of file analytich1hwengine.cpp.
◆ AnalyticH1HWEngine() [2/2]
| AnalyticH1HWEngine | ( | const ext::shared_ptr< HestonModel > & | model, |
| const ext::shared_ptr< HullWhite > & | hullWhiteModel, | ||
| Real | rhoSr, | ||
| Real | relTolerance, | ||
| Size | maxEvaluations | ||
| ) |
Definition at line 148 of file analytich1hwengine.cpp.
Member Function Documentation
◆ addOnTerm()
Reimplemented from AnalyticHestonEngine.
Definition at line 157 of file analytich1hwengine.cpp.
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Member Data Documentation
◆ rhoSr_
|
private |
Definition at line 84 of file analytich1hwengine.hpp.