HestonSLVMCModel Class Reference

#include <ql/models/equity/hestonslvmcmodel.hpp>

Inheritance diagram for HestonSLVMCModel:

Collaboration diagram for HestonSLVMCModel:

Public Member Functions
	HestonSLVMCModel (Handle< LocalVolTermStructure > localVol, Handle< HestonModel > hestonModel, ext::shared_ptr< BrownianGeneratorFactory > brownianGeneratorFactory, const Date &endDate, Size timeStepsPerYear=365, Size nBins=201, Size calibrationPaths=(1<< 15), const std::vector< Date > &mandatoryDates=std::vector< Date >(), Real mixingFactor=1.0)
ext::shared_ptr< HestonProcess >	hestonProcess () const
ext::shared_ptr< LocalVolTermStructure >	localVol () const
ext::shared_ptr< LocalVolTermStructure >	leverageFunction () const
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 ()

Protected Member Functions
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
virtual void	calculate () const

Private Attributes
const Handle< LocalVolTermStructure >	localVol_
const Handle< HestonModel >	hestonModel_
const ext::shared_ptr< BrownianGeneratorFactory >	brownianGeneratorFactory_
const Date	endDate_
const Size	nBins_
const Size	calibrationPaths_
const Real	mixingFactor_
ext::shared_ptr< TimeGrid >	timeGrid_
ext::shared_ptr< FixedLocalVolSurface >	leverageFunction_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

References:

Anthonie W. van der Stoep,Lech A. Grzelak, Cornelis W. Oosterlee, 2013, The Heston Stochastic-Local Volatility Model: Efficient Monte Carlo Simulation http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2278122

Definition at line 43 of file hestonslvmcmodel.hpp.

Constructor & Destructor Documentation

HestonSLVMCModel()

HestonSLVMCModel	(	Handle< LocalVolTermStructure >	localVol,
		Handle< HestonModel >	hestonModel,
		ext::shared_ptr< BrownianGeneratorFactory >	brownianGeneratorFactory,
		const Date &	endDate,
		Size	timeStepsPerYear = 365,
		Size	nBins = 201,
		Size	calibrationPaths = (1 << 15),
		const std::vector< Date > &	mandatoryDates = std::vector<Date>(),
		Real	mixingFactor = 1.0
	)

Definition at line 39 of file hestonslvmcmodel.cpp.

Here is the call graph for this function:

Member Function Documentation

hestonProcess()

ext::shared_ptr< HestonProcess > hestonProcess

(

)

const

Definition at line 70 of file hestonslvmcmodel.cpp.

Here is the caller graph for this function:

localVol()

ext::shared_ptr< LocalVolTermStructure > localVol

(

)

const

Definition at line 74 of file hestonslvmcmodel.cpp.

leverageFunction()

ext::shared_ptr< LocalVolTermStructure > leverageFunction

(

)

const

Definition at line 79 of file hestonslvmcmodel.cpp.

Here is the call graph for this function:

performCalculations()

void performCalculations ( ) const

overrideprotectedvirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 85 of file hestonslvmcmodel.cpp.

Here is the call graph for this function:

Member Data Documentation

localVol_

const Handle<LocalVolTermStructure> localVol_

private

Definition at line 63 of file hestonslvmcmodel.hpp.

hestonModel_

const Handle<HestonModel> hestonModel_

private

Definition at line 64 of file hestonslvmcmodel.hpp.

brownianGeneratorFactory_

const ext::shared_ptr<BrownianGeneratorFactory> brownianGeneratorFactory_

private

Definition at line 65 of file hestonslvmcmodel.hpp.

endDate_

const Date endDate_

private

Definition at line 66 of file hestonslvmcmodel.hpp.

nBins_

const Size nBins_

private

Definition at line 67 of file hestonslvmcmodel.hpp.

calibrationPaths_

const Size calibrationPaths_

private

Definition at line 67 of file hestonslvmcmodel.hpp.

mixingFactor_

const Real mixingFactor_

private

Definition at line 68 of file hestonslvmcmodel.hpp.

timeGrid_

ext::shared_ptr<TimeGrid> timeGrid_

private

Definition at line 69 of file hestonslvmcmodel.hpp.

leverageFunction_

ext::shared_ptr<FixedLocalVolSurface> leverageFunction_

mutableprivate

Definition at line 71 of file hestonslvmcmodel.hpp.