COS-method Heston engine based on efficient Fourier series expansions. More...
#include <ql/pricingengines/vanilla/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()
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explicit |
Definition at line 26 of file coshestonengine.cpp.
Member Function Documentation
◆ update()
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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()
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overridevirtual |
Implements PricingEngine.
Definition at line 52 of file coshestonengine.cpp.
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◆ chF()
Definition at line 132 of file coshestonengine.cpp.
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◆ c1()
◆ c2()
◆ c3()
◆ c4()
◆ mu()
◆ var()
◆ skew()
◆ kurtosis()
◆ muT()
Definition at line 127 of file coshestonengine.cpp.
Member Data Documentation
◆ L_
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private |
Definition at line 80 of file coshestonengine.hpp.
◆ N_
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private |
Definition at line 81 of file coshestonengine.hpp.
◆ kappa_
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private |
Definition at line 82 of file coshestonengine.hpp.
◆ theta_
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private |
Definition at line 82 of file coshestonengine.hpp.
◆ sigma_
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private |
Definition at line 82 of file coshestonengine.hpp.
◆ rho_
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private |
Definition at line 82 of file coshestonengine.hpp.
◆ v0_
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private |
Definition at line 82 of file coshestonengine.hpp.