exponentialfittinghestonengine.hpp

/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
/*
 Copyright (C) 2020 Klaus Spanderen
 
 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/
 
 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.
 
 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/
 
#ifndef quantlib_exponential_fitting_heston_engine_hpp
#define quantlib_exponential_fitting_heston_engine_hpp
 
#include <ql/pricingengines/genericmodelengine.hpp>
#include <ql/models/equity/hestonmodel.hpp>
#include <ql/instruments/vanillaoption.hpp>
 
#include <vector>
 
namespace QuantLib {
    class AnalyticHestonEngine;
 
    //  exponentially fitted Gauss-Laguerre quadrature
 
    class ExponentialFittingHestonEngine
        : public GenericModelEngine<HestonModel,
                                    VanillaOption::arguments,
                                    VanillaOption::results> {
      public:
        enum ControlVariate {
            // Gatheral form with Andersen-Piterbarg control variate
            AndersenPiterbarg,
            // same as AndersenPiterbarg, but a slightly better control variate
            AndersenPiterbargOptCV,
            // Gatheral form with asymptotic expansion of the characteristic function as control variate
            AsymptoticChF,
            // auto selection of best control variate algorithm from above
            OptimalCV
        };
 
        explicit ExponentialFittingHestonEngine(
            const ext::shared_ptr<HestonModel>& model,
            ControlVariate cv = OptimalCV,
            Real scaling = Null<Real>());
 
        void calculate() const override;
 
      private:
        const ControlVariate cv_;
        const Real scaling_;
        const ext::shared_ptr<AnalyticHestonEngine> analyticEngine_;
 
        static std::vector<Real> moneyness_;
    };
}
 
#endif