QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
Public Types | Public Member Functions | Private Attributes | Static Private Attributes | List of all members
ExponentialFittingHestonEngine Class Reference

analytic Heston-model engine based on More...

#include <ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp>

+ Inheritance diagram for ExponentialFittingHestonEngine:
+ Collaboration diagram for ExponentialFittingHestonEngine:

Public Types

enum  ControlVariate { AndersenPiterbarg , AndersenPiterbargOptCV , AsymptoticChF , OptimalCV }
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Public Member Functions

 ExponentialFittingHestonEngine (const ext::shared_ptr< HestonModel > &model, ControlVariate cv=OptimalCV, Real scaling=Null< Real >())
 
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::argumentsgetArguments () const override
 
const PricingEngine::resultsgetResults () const override
 
void reset () override
 
void update () override
 
- Public Member Functions inherited from PricingEngine
 ~PricingEngine () override=default
 
virtual argumentsgetArguments () const =0
 
virtual const resultsgetResults () const =0
 
virtual void reset ()=0
 
virtual void calculate () const =0
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 ext::shared_ptr< AnalyticHestonEngineanalyticEngine_
 

Static Private Attributes

static std::vector< Realmoneyness_
 

Additional Inherited Members

- Protected Attributes inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results >
Handle< HestonModelmodel_
 
- 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 49 of file exponentialfittinghestonengine.hpp.

Member Enumeration Documentation

◆ ControlVariate

Enumerator
AndersenPiterbarg 
AndersenPiterbargOptCV 
AsymptoticChF 
OptimalCV 

Definition at line 54 of file exponentialfittinghestonengine.hpp.

Constructor & Destructor Documentation

◆ ExponentialFittingHestonEngine()

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

Definition at line 185 of file exponentialfittinghestonengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const
overridevirtual

Implements PricingEngine.

Definition at line 205 of file exponentialfittinghestonengine.cpp.

+ Here is the call graph for this function:

Member Data Documentation

◆ cv_

const ControlVariate cv_
private

Definition at line 73 of file exponentialfittinghestonengine.hpp.

◆ scaling_

const Real scaling_
private

Definition at line 74 of file exponentialfittinghestonengine.hpp.

◆ analyticEngine_

const ext::shared_ptr<AnalyticHestonEngine> analyticEngine_
private

Definition at line 75 of file exponentialfittinghestonengine.hpp.

◆ moneyness_

std::vector< Real > moneyness_
staticprivate

Definition at line 77 of file exponentialfittinghestonengine.hpp.