analytich1hwengine.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2012 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
/*! \file analytich1hwengine.hpp
    \brief analytic Heston-Hull-White engine based on the H1-HW approximation
*/
 
#ifndef quantlib_analytic_h1_hw_engine_hpp
#define quantlib_analytic_h1_hw_engine_hpp
 
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
 
namespace QuantLib {
 
    //! Analytic Heston-Hull-White engine based on the H1-HW approximation
    /*! This class is pricing a european option under the following process
 
        \f[
        \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}
        \f]
    */
 
    /*! 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
 
        \ingroup vanillaengines
 
        \test 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
    */
 
    class AnalyticH1HWEngine : public AnalyticHestonHullWhiteEngine {
      public:
        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);
 
      protected:
        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const override;
 
      private:
        class Fj_Helper;
 
        const Real rhoSr_;
    };
}
 
#endif