Analytic engine for arbitrary European payoffs under the Heston model. More...

#include <analyticpdfhestonengine.hpp>

Inheritance diagram for AnalyticPDFHestonEngine:

Collaboration diagram for AnalyticPDFHestonEngine:

Public Member Functions
	AnalyticPDFHestonEngine (ext::shared_ptr< HestonModel > model, Real gaussLobattoEps=1e-6, Size gaussLobattoIntegrationOrder=10000UL)

void	calculate () const override

Real	Pv (Real x_t, Time t) const

Real	cdf (Real X, Time t) 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 ()

Private Member Functions
Real	weightedPayoff (Real x_t, Time t) const

Private Attributes
const Size	maxIntegrationIterations_

const Real	integrationEps_

const ext::shared_ptr< HestonModel >	model_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >
Handle< HestonModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

Detailed Description

Analytic engine for arbitrary European payoffs under the Heston model.

References:

The formulas are taken from A. Dragulescu, V. Yakovenko, 2002. Probability distribution of returns in the Heston model with stochastic volatility. http://arxiv.org/pdf/cond-mat/0203046.pdf