analytic Heston-model engine based on More...

#include <exponentialfittinghestonengine.hpp>

Inheritance diagram for ExponentialFittingHestonEngine:

Collaboration diagram for ExponentialFittingHestonEngine:

Public Types
typedef AnalyticHestonEngine::ComplexLogFormula	ControlVariate

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	ExponentialFittingHestonEngine (const ext::shared_ptr< HestonModel > &model, ControlVariate cv=ControlVariate::OptimalCV, Real scaling=Null< Real >(), Real alpha=-0.5)

void	calculate () const override

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 Attributes
const ControlVariate	cv_

const Real	scaling_

const Real	alpha_

const ext::shared_ptr< AnalyticHestonEngine >	analyticEngine_

Static Private Attributes
static std::vector< Real >	moneyness_

Additional Inherited Members
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 Heston-model engine based on

References: D. Conte, L. Ixaru, B. Paternoster, G. Santomauro, 2014 Exponentially-fitted Gauss–Laguerre quadrature rule for integrals over an unbounded interval

For adaptation details see https://hpcquantlib.wordpress.com/2020/05/17/optimized-heston-model-integration-exponentially-fitted-gauss-laguerre-quadrature-rule/

Definition at line 48 of file exponentialfittinghestonengine.hpp.

Member Typedef Documentation

◆ ControlVariate

typedef AnalyticHestonEngine::ComplexLogFormula ControlVariate

Definition at line 53 of file exponentialfittinghestonengine.hpp.

Constructor & Destructor Documentation

◆ ExponentialFittingHestonEngine()

ExponentialFittingHestonEngine	(	const ext::shared_ptr< HestonModel > &	model,
		ControlVariate	cv = `ControlVariate::OptimalCV`,
		Real	scaling = `Null<Real>()`,
		Real	alpha = `-0.5`
	)