Finite-differences Heston Hull-White vanilla option engine. More...

#include <fdhestonhullwhitevanillaengine.hpp>

Inheritance diagram for FdHestonHullWhiteVanillaEngine:

Collaboration diagram for FdHestonHullWhiteVanillaEngine:

Public Member Functions
	FdHestonHullWhiteVanillaEngine (const ext::shared_ptr< HestonModel > &model, ext::shared_ptr< HullWhiteProcess > hwProcess, Real corrEquityShortRate, Size tGrid=50, Size xGrid=100, Size vGrid=40, Size rGrid=20, Size dampingSteps=0, bool controlVariate=true, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())

	FdHestonHullWhiteVanillaEngine (const ext::shared_ptr< HestonModel > &model, ext::shared_ptr< HullWhiteProcess > hwProcess, DividendSchedule dividends, Real corrEquityShortRate, Size tGrid=50, Size xGrid=100, Size vGrid=40, Size rGrid=20, Size dampingSteps=0, bool controlVariate=true, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer())

void	calculate () const override

void	update () override

void	enableMultipleStrikesCaching (const std::vector< Real > &strikes)

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 Attributes
const ext::shared_ptr< HullWhiteProcess >	hwProcess_

DividendSchedule	dividends_

const Real	corrEquityShortRate_

const Size	tGrid_

const Size	xGrid_

const Size	vGrid_

const Size	rGrid_

const Size	dampingSteps_

const FdmSchemeDesc	schemeDesc_

const bool	controlVariate_

std::vector< Real >	strikes_

std::vector< std::pair< VanillaOption::arguments, VanillaOption::results > >	cachedArgs2results_

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

Finite-differences Heston Hull-White vanilla option engine.

Tests:: the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black/Heston pricing.

Definition at line 43 of file fdhestonhullwhitevanillaengine.hpp.

Constructor & Destructor Documentation

◆ FdHestonHullWhiteVanillaEngine() [1/2]

FdHestonHullWhiteVanillaEngine	(	const ext::shared_ptr< HestonModel > &	model,
		ext::shared_ptr< HullWhiteProcess >	hwProcess,
		Real	corrEquityShortRate,
		Size	tGrid = `50`,
		Size	xGrid = `100`,
		Size	vGrid = `40`,
		Size	rGrid = `20`,
		Size	dampingSteps = `0`,
		bool	controlVariate = `true`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`
	)

Definition at line 36 of file fdhestonhullwhitevanillaengine.cpp.

◆ FdHestonHullWhiteVanillaEngine() [2/2]

FdHestonHullWhiteVanillaEngine	(	const ext::shared_ptr< HestonModel > &	model,
		ext::shared_ptr< HullWhiteProcess >	hwProcess,
		DividendSchedule	dividends,
		Real	corrEquityShortRate,
		Size	tGrid = `50`,
		Size	xGrid = `100`,
		Size	vGrid = `40`,
		Size	rGrid = `20`,
		Size	dampingSteps = `0`,
		bool	controlVariate = `true`,
		const FdmSchemeDesc &	schemeDesc = `FdmSchemeDesc::Hundsdorfer()`
	)

Definition at line 55 of file fdhestonhullwhitevanillaengine.cpp.

Member Function Documentation

◆ calculate()

void calculate ( ) const

overridevirtual

Implements PricingEngine.

Definition at line 75 of file fdhestonhullwhitevanillaengine.cpp.

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◆ update()

void update ( )

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 232 of file fdhestonhullwhitevanillaengine.cpp.

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