analytichestonhullwhiteengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2007 Klaus Spanderen
 Copyright (C) 2007 StatPro Italia srl
 
 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.
*/
 
#ifndef quantlib_analytic_heston_hull_white_engine_hpp
#define quantlib_analytic_heston_hull_white_engine_hpp
 
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/models/shortrate/onefactormodels/hullwhite.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 
namespace QuantLib {
 
 
    class AnalyticHestonHullWhiteEngine : public AnalyticHestonEngine {
      public:
        // see AnalticHestonEninge for usage of different constructors
        AnalyticHestonHullWhiteEngine(const ext::shared_ptr<HestonModel>& hestonModel,
                                      ext::shared_ptr<HullWhite> hullWhiteModel,
                                      Size integrationOrder = 144);
 
        AnalyticHestonHullWhiteEngine(const ext::shared_ptr<HestonModel>& model,
                                      ext::shared_ptr<HullWhite> hullWhiteModel,
                                      Real relTolerance,
                                      Size maxEvaluations);
 
 
        void update() override;
        void calculate() const override;
 
      protected:
        std::complex<Real> addOnTerm(Real phi, Time t, Size j) const override;
 
        const ext::shared_ptr<HullWhite> hullWhiteModel_;
 
      private:
        void setParameters();
        mutable Real m_;
        mutable Real a_, sigma_;
    };
 
    inline
    std::complex<Real> AnalyticHestonHullWhiteEngine::addOnTerm(Real u,
                                                                Time,
                                                                Size j) const {
        return std::complex<Real>(-m_*u*u, u*(m_-2*m_*(j-1)));
    }
 
}
 
#endif