26#ifndef quantlib_fdm_heston_solver_hpp
27#define quantlib_fdm_heston_solver_hpp
48 ext::shared_ptr<LocalVolTermStructure> leverageFct =
49 ext::shared_ptr<LocalVolTermStructure>(),
50 Real mixingFactor = 1.0);
77 mutable ext::shared_ptr<Fdm2DimSolver>
solver_;
ext::shared_ptr< Fdm2DimSolver > solver_
void performCalculations() const override
Real thetaAt(Real s, Real v) const
Real meanVarianceDeltaAt(Real s, Real v) const
const FdmSolverDesc solverDesc_
const ext::shared_ptr< LocalVolTermStructure > leverageFct_
Real gammaAt(Real s, Real v) const
const Handle< HestonProcess > process_
Real valueAt(Real s, Real v) const
Real deltaAt(Real s, Real v) const
const Handle< FdmQuantoHelper > quantoHelper_
Real meanVarianceGammaAt(Real s, Real v) const
const FdmSchemeDesc schemeDesc_
Shared handle to an observable.
Framework for calculation on demand and result caching.
Dirichlet boundary conditions for differential operators.
helper class storing market data needed for the quanto adjustment.
Globally accessible relinkable pointer.
framework for calculation on demand and result caching
Local volatility term structure base class.
ext::shared_ptr< BlackVolTermStructure > v
static FdmSchemeDesc Hundsdorfer()