QuantLib: a free/open-source library for quantitative finance
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coshestonengine.hpp
1/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
2
3/*
4 Copyright (C) 2017 Klaus Spanderen
5
6 This file is part of QuantLib, a free-software/open-source library
7 for financial quantitative analysts and developers - http://quantlib.org/
8
9 QuantLib is free software: you can redistribute it and/or modify it
10 under the terms of the QuantLib license. You should have received a
11 copy of the license along with this program; if not, please email
12 <quantlib-dev@lists.sf.net>. The license is also available online at
13 <http://quantlib.org/license.shtml>.
14
15 This program is distributed in the hope that it will be useful, but WITHOUT
16 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
17 FOR A PARTICULAR PURPOSE. See the license for more details.
18*/
19
24#ifndef quantlib_cos_heston_engine_hpp
25#define quantlib_cos_heston_engine_hpp
26
27#include <ql/models/equity/hestonmodel.hpp>
28#include <ql/instruments/vanillaoption.hpp>
29#include <ql/pricingengines/genericmodelengine.hpp>
30
31#include <complex>
32
33namespace QuantLib {
34
36
54 : public GenericModelEngine<HestonModel,
55 VanillaOption::arguments,
56 VanillaOption::results> {
57 public:
58 explicit COSHestonEngine(const ext::shared_ptr<HestonModel>& model,
59 Real L = 16, Size N=200);
60
61 void update() override;
62 void calculate() const override;
63
64 // normalized characteristic function
65 std::complex<Real> chF(Real u, Real t) const;
66
67 Real c1(Time t) const;
68 Real c2(Time t) const;
69 Real c3(Time t) const;
70 Real c4(Time t) const;
71
72 Real mu(Time t) const;
73 Real var(Time t) const;
74 Real skew(Time t) const;
75 Real kurtosis(Time t) const;
76
77 private:
78 Real muT(Time t) const;
79
80 const Real L_;
81 const Size N_;
83 };
84}
85
86#endif
COS-method Heston engine based on efficient Fourier series expansions.
void calculate() const override
std::complex< Real > chF(Real u, Real t) const
Real kurtosis(Time t) const
Base class for some pricing engine on a particular model.
Real Time
continuous quantity with 1-year units
Definition: types.hpp:62
QL_REAL Real
real number
Definition: types.hpp:50
std::size_t Size
size of a container
Definition: types.hpp:58
Definition: any.hpp:35