COSHestonEngine Class Reference

COS-method Heston engine based on efficient Fourier series expansions. More...

#include <coshestonengine.hpp>

Inheritance diagram for COSHestonEngine:

Collaboration diagram for COSHestonEngine:

Public Member Functions
	COSHestonEngine (const ext::shared_ptr< HestonModel > &model, Real L=16, Size N=200)
void	update () override
void	calculate () const override
std::complex< Real >	chF (Real u, Real t) const
Real	c1 (Time t) const
Real	c2 (Time t) const
Real	c3 (Time t) const
Real	c4 (Time t) const
Real	mu (Time t) const
Real	var (Time t) const
Real	skew (Time t) const
Real	kurtosis (Time t) 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 Member Functions
Real	muT (Time t) const

Private Attributes
const Real	L_
const Size	N_
Real	kappa_
Real	theta_
Real	sigma_
Real	rho_
Real	v0_

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

COS-method Heston engine based on efficient Fourier series expansions.

References:

F. Fang, C.W. Oosterlee: A Novel Pricing Method for European Ooptions based on Fourier-Cosine Series Expansions, http://ta.twi.tudelft.nl/mf/users/oosterle/oosterlee/COS.pdf

Fabien Le Floc'h: Fourier Integration and Stochastic Volatility Calibration, https://papers.ssrn.com/sol3/papers2.cfm?abstract_id=2362968

Tests:

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

Definition at line 53 of file coshestonengine.hpp.

Constructor & Destructor Documentation

COSHestonEngine()

COSHestonEngine ( const ext::shared_ptr< HestonModel > &  model, Real  L = 16, Size  N = 200  )

explicit

Definition at line 26 of file coshestonengine.cpp.

Member Function Documentation

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 39 of file coshestonengine.cpp.

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calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 52 of file coshestonengine.cpp.

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chF()

std::complex< Real > chF	(	Real	u,
		Real	t
	)		const

Definition at line 132 of file coshestonengine.cpp.

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c1()

Real c1

(

Time

t

)

const

Definition at line 177 of file coshestonengine.cpp.

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c2()

Real c2

(

Time

t

)

const

Definition at line 183 of file coshestonengine.cpp.

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c3()

Real c3

(

Time

t

)

const

Definition at line 199 of file coshestonengine.cpp.

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c4()

Real c4

(

Time

t

)

const

Definition at line 228 of file coshestonengine.cpp.

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mu()

Real mu

(

Time

t

)

const

Definition at line 288 of file coshestonengine.cpp.

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var()

Real var

(

Time

t

)

const

Definition at line 291 of file coshestonengine.cpp.

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skew()

Real skew

(

Time

t

)

const

Definition at line 294 of file coshestonengine.cpp.

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kurtosis()

Real kurtosis

(

Time

t

)

const

Definition at line 297 of file coshestonengine.cpp.

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muT()

Real muT ( Time  t ) const

private

Definition at line 127 of file coshestonengine.cpp.

Member Data Documentation

L_

const Real L_

private

Definition at line 80 of file coshestonengine.hpp.

N_

const Size N_

private

Definition at line 81 of file coshestonengine.hpp.

kappa_

Real kappa_

private

Definition at line 82 of file coshestonengine.hpp.

theta_

Real theta_

private

Definition at line 82 of file coshestonengine.hpp.

sigma_

Real sigma_

private

Definition at line 82 of file coshestonengine.hpp.

rho_

Real rho_

private

Definition at line 82 of file coshestonengine.hpp.

v0_

Real v0_

private

Definition at line 82 of file coshestonengine.hpp.