Analytic Heston engine incl. stochastic interest rates. More...

#include <analytichestonforwardeuropeanengine.hpp>

Inheritance diagram for AnalyticHestonForwardEuropeanEngine:

Collaboration diagram for AnalyticHestonForwardEuropeanEngine:

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 ()=default

	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_

Detailed Description

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)

Tests:

For tReset > 0, price from the analytic pricer is compared to the MC priver for calls/puts at various moneynesses
For tReset ~ 0, price from the analytic pricer is compared to the Heston analytic vanilla pricer for various options

Definition at line 64 of file analytichestonforwardeuropeanengine.hpp.