AnalyticHestonEngine::AP_Helper Class Reference

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

Collaboration diagram for AnalyticHestonEngine::AP_Helper:

Public Member Functions
	AP_Helper (Time term, Real fwd, Real strike, ComplexLogFormula cpxLog, const AnalyticHestonEngine *enginePtr)
Real	operator() (Real u) const
Real	controlVariateValue () const

Private Attributes
const Time	term_
const Real	fwd_
const Real	strike_
const Real	freq_
const ComplexLogFormula	cpxLog_
const AnalyticHestonEngine *const	enginePtr_
Real	vAvg_
std::complex< Real >	phi_
std::complex< Real >	psi_

Detailed Description

Definition at line 155 of file analytichestonengine.hpp.

Constructor & Destructor Documentation

AP_Helper()

AP_Helper	(	Time	term,
		Real	fwd,
		Real	strike,
		ComplexLogFormula	cpxLog,
		const AnalyticHestonEngine *	enginePtr
	)

Definition at line 364 of file analytichestonengine.cpp.

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Member Function Documentation

operator()()

Real operator()

(

Real

u

)

const

Definition at line 407 of file analytichestonengine.cpp.

controlVariateValue()

Real controlVariateValue

(

)

const

Definition at line 435 of file analytichestonengine.cpp.

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Member Data Documentation

term_

const Time term_

private

Definition at line 167 of file analytichestonengine.hpp.

fwd_

const Real fwd_

private

Definition at line 168 of file analytichestonengine.hpp.

strike_

const Real strike_

private

Definition at line 168 of file analytichestonengine.hpp.

freq_

const Real freq_

private

Definition at line 168 of file analytichestonengine.hpp.

cpxLog_

const ComplexLogFormula cpxLog_

private

Definition at line 169 of file analytichestonengine.hpp.

enginePtr_

const AnalyticHestonEngine* const enginePtr_

private

Definition at line 170 of file analytichestonengine.hpp.

vAvg_

Real vAvg_

private

Definition at line 171 of file analytichestonengine.hpp.

phi_

std::complex<Real> phi_

private

Definition at line 172 of file analytichestonengine.hpp.

psi_

std::complex<Real> psi_

private

Definition at line 172 of file analytichestonengine.hpp.