QuantLib: a free/open-source library for quantitative finance
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fdmhestonhullwhitesolver.hpp
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1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2009 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
20/*! \file fdmhestonhullwhitesolver.hpp
21*/
22
23#ifndef quantlib_fdm_heston_hull_white_solver_hpp
24#define quantlib_fdm_heston_hull_white_solver_hpp
25
26#include <ql/handle.hpp>
33
34
35namespace QuantLib {
36
37 class Fdm3DimSolver;
38
40 public:
42 const Handle<HullWhiteProcess>& hwProcess,
43 Rate corrEquityShortRate,
44 FdmSolverDesc solverDesc,
45 const FdmSchemeDesc& schemeDesc = FdmSchemeDesc::Hundsdorfer());
46
47 Real valueAt(Real s, Real v, Rate r) const;
48 Real thetaAt(Real s, Real v, Rate r) const;
49
50 // First and second order derivative with respect to S_t.
51 // Please note that this is not the "model implied" delta or gamma.
52 // E.g. see Fabio Mercurio, Massimo Morini
53 // "A Note on Hedging with Local and Stochastic Volatility Models",
54 // http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1294284
55 Real deltaAt(Real s, Real v, Rate r, Real eps) const;
56 Real gammaAt(Real s, Real v, Rate r, Real eps) const;
57
58 protected:
59 void performCalculations() const override;
60
61 private:
65
68
69 mutable ext::shared_ptr<Fdm3DimSolver> solver_;
70 };
71}
72
73#endif
Real gammaAt(Real s, Real v, Rate r, Real eps) const
Real thetaAt(Real s, Real v, Rate r) const
Real valueAt(Real s, Real v, Rate r) const
const Handle< HullWhiteProcess > hwProcess_
const Handle< HestonProcess > hestonProcess_
ext::shared_ptr< Fdm3DimSolver > solver_
Real deltaAt(Real s, Real v, Rate r, Real eps) const
Shared handle to an observable.
Definition: handle.hpp:41
Framework for calculation on demand and result caching.
Definition: lazyobject.hpp:35
Dirichlet boundary conditions for differential operators.
QL_REAL Real
real number
Definition: types.hpp:50
Real Rate
interest rates
Definition: types.hpp:70
Globally accessible relinkable pointer.
Heston stochastic process.
Hull-White stochastic processes.
framework for calculation on demand and result caching
Definition: any.hpp:35
ext::shared_ptr< YieldTermStructure > r
ext::shared_ptr< BlackVolTermStructure > v
static FdmSchemeDesc Hundsdorfer()