Finite-differences Heston vanilla option engine. More...

#include <fdhestonvanillaengine.hpp>

Inheritance diagram for FdHestonVanillaEngine:

Collaboration diagram for FdHestonVanillaEngine:

Public Member Functions
	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)

	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, DividendSchedule dividends, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)

	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)

	FdHestonVanillaEngine (const ext::shared_ptr< HestonModel > &model, DividendSchedule dividends, ext::shared_ptr< FdmQuantoHelper > quantoHelper, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), ext::shared_ptr< LocalVolTermStructure > leverageFct={}, Real mixingFactor=1.0)

void	calculate () const override

void	update () override

void	enableMultipleStrikesCaching (const std::vector< Real > &strikes)

FdmSolverDesc	getSolverDesc (Real equityScaleFactor) 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 Attributes
DividendSchedule	dividends_

const Size	tGrid_

const Size	xGrid_

const Size	vGrid_

const Size	dampingSteps_

const FdmSchemeDesc	schemeDesc_

const ext::shared_ptr< LocalVolTermStructure >	leverageFct_

const ext::shared_ptr< FdmQuantoHelper >	quantoHelper_

const Real	mixingFactor_

std::vector< Real >	strikes_

std::vector< std::pair< VanillaOption::arguments, VanillaOption::results > >	cachedArgs2results_

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

Finite-differences Heston vanilla option engine.

Tests:: the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black pricing.

Definition at line 47 of file fdhestonvanillaengine.hpp.

Constructor & Destructor Documentation

◆ FdHestonVanillaEngine() [1/4]

FdHestonVanillaEngine	(	const ext::shared_ptr< HestonModel > &	model,
		Size	tGrid = `100`,
		Size	xGrid = `100`,
		Size	vGrid = `50`,
		Size	dampingSteps = `0`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`,
		ext::shared_ptr< LocalVolTermStructure >	leverageFct = `{}`,
		Real	mixingFactor = `1.0`
	)

explicit

Definition at line 37 of file fdhestonvanillaengine.cpp.

◆ FdHestonVanillaEngine() [2/4]

FdHestonVanillaEngine	(	const ext::shared_ptr< HestonModel > &	model,
		DividendSchedule	dividends,
		Size	tGrid = `100`,
		Size	xGrid = `100`,
		Size	vGrid = `50`,
		Size	dampingSteps = `0`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`,
		ext::shared_ptr< LocalVolTermStructure >	leverageFct = `{}`,
		Real	mixingFactor = `1.0`
	)

Definition at line 52 of file fdhestonvanillaengine.cpp.

◆ FdHestonVanillaEngine() [3/4]

FdHestonVanillaEngine	(	const ext::shared_ptr< HestonModel > &	model,
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper,
		Size	tGrid = `100`,
		Size	xGrid = `100`,
		Size	vGrid = `50`,
		Size	dampingSteps = `0`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`,
		ext::shared_ptr< LocalVolTermStructure >	leverageFct = `{}`,
		Real	mixingFactor = `1.0`
	)

Definition at line 69 of file fdhestonvanillaengine.cpp.

◆ FdHestonVanillaEngine() [4/4]

FdHestonVanillaEngine	(	const ext::shared_ptr< HestonModel > &	model,
		DividendSchedule	dividends,
		ext::shared_ptr< FdmQuantoHelper >	quantoHelper,
		Size	tGrid = `100`,
		Size	xGrid = `100`,
		Size	vGrid = `50`,
		Size	dampingSteps = `0`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`,
		ext::shared_ptr< LocalVolTermStructure >	leverageFct = `{}`,
		Real	mixingFactor = `1.0`
	)

Definition at line 85 of file fdhestonvanillaengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 175 of file fdhestonvanillaengine.cpp.

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◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from GenericEngine< ArgumentsType, ResultsType >.

Definition at line 231 of file fdhestonvanillaengine.cpp.

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◆ enableMultipleStrikesCaching()

void enableMultipleStrikesCaching ( const std::vector< Real > & strikes )

Definition at line 238 of file fdhestonvanillaengine.cpp.

◆ getSolverDesc()

FdmSolverDesc getSolverDesc ( Real equityScaleFactor ) const

Definition at line 103 of file fdhestonvanillaengine.cpp.

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Member Data Documentation

◆ dividends_

DividendSchedule dividends_

private

Definition at line 103 of file fdhestonvanillaengine.hpp.

◆ tGrid_

const Size tGrid_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

◆ xGrid_

const Size xGrid_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

◆ vGrid_

const Size vGrid_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

◆ dampingSteps_

const Size dampingSteps_

private

Definition at line 104 of file fdhestonvanillaengine.hpp.

◆ schemeDesc_

const FdmSchemeDesc schemeDesc_

private

Definition at line 105 of file fdhestonvanillaengine.hpp.

◆ leverageFct_

const ext::shared_ptr<LocalVolTermStructure> leverageFct_

private

Definition at line 106 of file fdhestonvanillaengine.hpp.

◆ quantoHelper_

const ext::shared_ptr<FdmQuantoHelper> quantoHelper_

private

Definition at line 107 of file fdhestonvanillaengine.hpp.

◆ mixingFactor_

const Real mixingFactor_

private

Definition at line 108 of file fdhestonvanillaengine.hpp.

◆ strikes_

std::vector<Real> strikes_

private

Definition at line 110 of file fdhestonvanillaengine.hpp.

◆ cachedArgs2results_

std::vector<std::pair<VanillaOption::arguments, VanillaOption::results> > cachedArgs2results_

mutableprivate

Definition at line 113 of file fdhestonvanillaengine.hpp.

Public Member Functions

Private Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FdHestonVanillaEngine() [1/4]

◆ FdHestonVanillaEngine() [2/4]

◆ FdHestonVanillaEngine() [3/4]

◆ FdHestonVanillaEngine() [4/4]

Member Function Documentation

◆ calculate()

◆ update()

◆ enableMultipleStrikesCaching()

◆ getSolverDesc()

Member Data Documentation

◆ dividends_

◆ tGrid_

◆ xGrid_

◆ vGrid_

◆ dampingSteps_

◆ schemeDesc_

◆ leverageFct_

◆ quantoHelper_

◆ mixingFactor_

◆ strikes_

◆ cachedArgs2results_