Finite-Differences Heston Double Barrier Option engine. More...

#include <fdhestondoublebarrierengine.hpp>

Inheritance diagram for FdHestonDoubleBarrierEngine:

Collaboration diagram for FdHestonDoubleBarrierEngine:

Public Member Functions
	FdHestonDoubleBarrierEngine (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=ext::shared_ptr< LocalVolTermStructure >(), Real mixingFactor=1.0)

void	calculate () const override

Public Member Functions inherited from GenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::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
const Size	tGrid_

const Size	xGrid_

const Size	vGrid_

const Size	dampingSteps_

const FdmSchemeDesc	schemeDesc_

const ext::shared_ptr< LocalVolTermStructure >	leverageFct_

const Real	mixingFactor_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Attributes inherited from GenericModelEngine< HestonModel, DoubleBarrierOption::arguments, DoubleBarrierOption::results >
Handle< HestonModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

Detailed Description

Finite-Differences Heston Double Barrier Option engine.

Definition at line 42 of file fdhestondoublebarrierengine.hpp.

Constructor & Destructor Documentation

◆ FdHestonDoubleBarrierEngine()

FdHestonDoubleBarrierEngine	(	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 = `ext::shared_ptr<LocalVolTermStructure>()`,
		Real	mixingFactor = `1.0`
	)