24#include <ql/processes/batesprocess.hpp>
25#include <ql/methods/finitedifferences/solvers/fdmbatessolver.hpp>
26#include <ql/pricingengines/vanilla/fdbatesvanillaengine.hpp>
27#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
31 QL_DEPRECATED_DISABLE_WARNING
34 const ext::shared_ptr<BatesModel>& model,
41 explicitDividends_(false),
42 tGrid_(tGrid), xGrid_(xGrid),
43 vGrid_(vGrid), dampingSteps_(dampingSteps),
44 schemeDesc_(schemeDesc) {}
47 const ext::shared_ptr<BatesModel>& model,
55 dividends_(
std::move(dividends)), explicitDividends_(true),
56 tGrid_(tGrid), xGrid_(xGrid),
57 vGrid_(vGrid), dampingSteps_(dampingSteps),
58 schemeDesc_(schemeDesc) {}
60 QL_DEPRECATED_ENABLE_WARNING
65 QL_DEPRECATED_DISABLE_WARNING
67 QL_DEPRECATED_ENABLE_WARNING
74 QL_DEPRECATED_DISABLE_WARNING
77 QL_DEPRECATED_ENABLE_WARNING
81 const ext::shared_ptr<BatesProcess> process =
82 ext::dynamic_pointer_cast<BatesProcess>(
model_->process());
84 ext::shared_ptr<FdmBatesSolver> solver(
88 const Real v0 = process->v0();
89 const Real spot = process->s0()->value();
91 results_.value = solver->valueAt(spot, v0);
92 results_.delta = solver->deltaAt(spot, v0);
93 results_.gamma = solver->gammaAt(spot, v0);
94 results_.theta = solver->thetaAt(spot, v0);
Bates stochastic-volatility model.
Single-asset vanilla option (no barriers) with discrete dividends.
void calculate() const override
FdBatesVanillaEngine(const ext::shared_ptr< BatesModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())
DividendSchedule dividends_
const FdmSchemeDesc schemeDesc_
Finite-differences Heston vanilla option engine.
Base class for some pricing engine on a particular model.
Handle< BatesModel > model_
Shared handle to an observable.
const ext::shared_ptr< T > & currentLink() const
dereferencing
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule