QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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#include <ql/pricingengines/vanilla/batesengine.hpp>
Public Member Functions | |
BatesDoubleExpDetJumpEngine (const ext::shared_ptr< BatesDoubleExpDetJumpModel > &model, Size integrationOrder=144) | |
BatesDoubleExpDetJumpEngine (const ext::shared_ptr< BatesDoubleExpDetJumpModel > &model, Real relTolerance, Size maxEvaluations) | |
Public Member Functions inherited from BatesDoubleExpEngine | |
BatesDoubleExpEngine (const ext::shared_ptr< BatesDoubleExpModel > &model, Size integrationOrder=144) | |
BatesDoubleExpEngine (const ext::shared_ptr< BatesDoubleExpModel > &model, Real relTolerance, Size maxEvaluations) | |
Public Member Functions inherited from AnalyticHestonEngine | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Size integrationOrder=144) | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8) | |
std::complex< Real > | chF (const std::complex< Real > &z, Time t) const |
std::complex< Real > | lnChF (const std::complex< Real > &z, Time t) const |
void | calculate () const override |
Size | numberOfEvaluations () const |
Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
GenericModelEngine (Handle< HestonModel > model=Handle< HestonModel >()) | |
GenericModelEngine (const ext::shared_ptr< HestonModel > &model) | |
Public Member Functions inherited from GenericEngine< ArgumentsType, ResultsType > | |
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 () |
Protected Member Functions | |
std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const override |
std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const override |
virtual std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Additional Inherited Members | |
Public Types inherited from AnalyticHestonEngine | |
enum | ComplexLogFormula { Gatheral , BranchCorrection , AndersenPiterbarg , AndersenPiterbargOptCV , AsymptoticChF , OptimalCV } |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Static Public Member Functions inherited from AnalyticHestonEngine | |
static void | doCalculation (Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &type, const Integration &integration, ComplexLogFormula cpxLog, const AnalyticHestonEngine *enginePtr, Real &value, Size &evaluations) |
static ComplexLogFormula | optimalControlVariate (Time t, Real v0, Real kappa, Real theta, Real sigma, Real rho) |
Protected Attributes inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
Handle< HestonModel > | model_ |
Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType > | |
ArgumentsType | arguments_ |
ResultsType | results_ |
Definition at line 144 of file batesengine.hpp.
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explicit |
Definition at line 108 of file batesengine.cpp.
BatesDoubleExpDetJumpEngine | ( | const ext::shared_ptr< BatesDoubleExpDetJumpModel > & | model, |
Real | relTolerance, | ||
Size | maxEvaluations | ||
) |
Definition at line 113 of file batesengine.cpp.
Reimplemented from BatesDoubleExpEngine.
Definition at line 118 of file batesengine.cpp.