25#ifndef quantlib_heston_slv_model_hpp
26#define quantlib_heston_slv_model_hpp
41 class LocalVolTermStructure;
80 std::vector<Date> mandatoryDates = std::vector<Date>(),
81 Real mixingFactor = 1.0);
84 ext::shared_ptr<LocalVolTermStructure>
localVol()
const;
89 const ext::shared_ptr<Array>
prob;
90 const ext::shared_ptr<FdmMesherComposite>
mesher;
Shared handle to an observable.
ext::shared_ptr< LocalVolTermStructure > leverageFunction() const
void performCalculations() const override
const std::list< LogEntry > & logEntries() const
const HestonSLVFokkerPlanckFdmParams params_
ext::shared_ptr< LocalVolTermStructure > leverageFunction_
std::list< LogEntry > logEntries_
const Handle< LocalVolTermStructure > localVol_
const Handle< HestonModel > hestonModel_
const std::vector< Date > mandatoryDates_
ext::shared_ptr< HestonProcess > hestonProcess() const
ext::shared_ptr< LocalVolTermStructure > localVol() const
Framework for calculation on demand and result caching.
Heston Fokker-Planck Green's function.
FdmMesher which is a composite of Fdm1dMesher.
Real Time
continuous quantity with 1-year units
std::size_t Size
size of a container
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
observer/observable pattern
const ext::shared_ptr< FdmMesherComposite > mesher
const ext::shared_ptr< Array > prob
FdmSquareRootFwdOp::TransformationType trafoType
Size maxIntegrationIterations
FdmHestonGreensFct::Algorithm greensAlgorithm
Size predictionCorretionSteps