exponentialfittinghestonengine.hpp

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/* -*- 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.
*/
 
/*! \file exponentialfittinghestonengine.hpp
    \brief analytic Heston-model engine based on exponential fitting
*/
 
#ifndef quantlib_exponential_fitting_heston_engine_hpp
#define quantlib_exponential_fitting_heston_engine_hpp
 
#include <ql/instruments/vanillaoption.hpp>
#include <ql/pricingengines/vanilla/analytichestonengine.hpp>
 
#include <vector>
 
namespace QuantLib {
    class AnalyticHestonEngine;
 
    //! analytic Heston-model engine based on
    //  exponentially fitted Gauss-Laguerre quadrature
 
    /*! References:
        D. Conte, L. Ixaru, B. Paternoster, G. Santomauro, 2014
        Exponentially-fitted Gauss–Laguerre quadrature rule for
        integrals over an unbounded interval
 
        For adaptation details see
        https://hpcquantlib.wordpress.com/2020/05/17/optimized-heston-model-integration-exponentially-fitted-gauss-laguerre-quadrature-rule/
    */
 
 
    class ExponentialFittingHestonEngine
        : public GenericModelEngine<HestonModel,
                                    VanillaOption::arguments,
                                    VanillaOption::results> {
      public:
        typedef AnalyticHestonEngine::ComplexLogFormula ControlVariate;
 
        explicit ExponentialFittingHestonEngine(
            const ext::shared_ptr<HestonModel>& model,
            ControlVariate cv = ControlVariate::OptimalCV,
            Real scaling = Null<Real>(),
            Real alpha = -0.5);
 
        void calculate() const override;
 
      private:
        const ControlVariate cv_;
        const Real scaling_, alpha_;
        const ext::shared_ptr<AnalyticHestonEngine> analyticEngine_;
 
        static std::vector<Real> moneyness_;
    };
}
 
#endif