QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Analytic Heston engine incl. stochastic interest rates. More...
#include <analytichestonforwardeuropeanengine.hpp>
Public Member Functions | |
AnalyticHestonForwardEuropeanEngine (ext::shared_ptr< HestonProcess > process, Size integrationOrder=144) | |
void | calculate () const override |
Real | propagator (Time resetTime, Real varReset) const |
ext::shared_ptr< AnalyticHestonEngine > | forwardChF (Handle< Quote > &spotReset, Real varReset) const |
Public Member Functions inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
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 () |
Private Member Functions | |
std::pair< Real, Real > | calculateP1P2 (Time t, Handle< Quote > &St, Real K, Real ratio, Real phiRightLimit=100) const |
std::pair< Real, Real > | calculateP1P2Hat (Time tenor, Time resetTime, Real K, Real ratio, Real phiRightLimit=100, Real nuRightLimit=2.0) const |
Private Attributes | |
ext::shared_ptr< HestonProcess > | process_ |
Size | integrationOrder_ |
Real | v0_ |
Real | rho_ |
Real | kappa_ |
Real | theta_ |
Real | sigma_ |
Handle< YieldTermStructure > | dividendYield_ |
Handle< YieldTermStructure > | riskFreeRate_ |
Handle< Quote > | s0_ |
Real | kappaHat_ |
Real | thetaHat_ |
Real | R_ |
GaussLegendreIntegration | outerIntegrator_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericEngine< ForwardOptionArguments< VanillaOption::arguments >, VanillaOption::results > | |
ForwardOptionArguments< VanillaOption::arguments > | arguments_ |
VanillaOption::results | results_ |
Analytic Heston engine incl. stochastic interest rates.
This class is pricing a european option under the following process
\[ \begin{array}{rcl} dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dW_1 dW_2 &=& \rho dt \\ \end{array} \]
References:
Implements the analytical solution for forward-starting strike-reset options descriped in "On the Pricing of Forward Starting Options under Stochastic Volatility", S. Kruse (2003)
Definition at line 64 of file analytichestonforwardeuropeanengine.hpp.
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explicit |
Definition at line 95 of file analytichestonforwardeuropeanengine.cpp.
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overridevirtual |
Implements PricingEngine.
Definition at line 121 of file analytichestonforwardeuropeanengine.cpp.
Definition at line 218 of file analytichestonforwardeuropeanengine.cpp.
ext::shared_ptr< AnalyticHestonEngine > forwardChF | ( | Handle< Quote > & | spotReset, |
Real | varReset | ||
) | const |
Definition at line 233 of file analytichestonforwardeuropeanengine.cpp.
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private |
Definition at line 253 of file analytichestonforwardeuropeanengine.cpp.
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Definition at line 193 of file analytichestonforwardeuropeanengine.cpp.
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Definition at line 83 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 84 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 87 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 87 of file analytichestonforwardeuropeanengine.hpp.
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private |
Definition at line 87 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 87 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 87 of file analytichestonforwardeuropeanengine.hpp.
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private |
Definition at line 88 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 89 of file analytichestonforwardeuropeanengine.hpp.
Definition at line 90 of file analytichestonforwardeuropeanengine.hpp.
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private |
Definition at line 93 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 93 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 93 of file analytichestonforwardeuropeanengine.hpp.
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Definition at line 98 of file analytichestonforwardeuropeanengine.hpp.