Heston-model engine for European options based on analytic expansions. More...
#include <hestonexpansionengine.hpp>
Inheritance diagram for HestonExpansionEngine:
Collaboration diagram for HestonExpansionEngine:
Public Types | |
| enum | HestonExpansionFormula { LPP2 , LPP3 , Forde } |
| Public Types inherited from Observer | |
| typedef set_type::iterator | iterator |
Public Member Functions | |
| HestonExpansionEngine (const ext::shared_ptr< HestonModel > &model, HestonExpansionFormula formula) | |
| void | calculate () const override |
| 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 HestonExpansionFormula | formula_ |
Additional Inherited Members | |
| 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
Heston-model engine for European options based on analytic expansions.
References:
M Forde, A Jacquier, R Lee, The small-time smile and term structure of implied volatility under the Heston model SIAM Journal on Financial Mathematics, 2012 - SIAM
M Lorig, S Pagliarani, A Pascucci, Explicit implied vols for multifactor local-stochastic vol models arXiv preprint arXiv:1306.5447v3, 2014 - arxiv.org
Definition at line 46 of file hestonexpansionengine.hpp.
Member Enumeration Documentation
◆ HestonExpansionFormula
| Enumerator | |
|---|---|
| LPP2 | |
| LPP3 | |
| Forde | |
Definition at line 51 of file hestonexpansionengine.hpp.
Constructor & Destructor Documentation
◆ HestonExpansionEngine()
| HestonExpansionEngine | ( | const ext::shared_ptr< HestonModel > & | model, |
| HestonExpansionFormula | formula | ||
| ) |
Definition at line 39 of file hestonexpansionengine.cpp.
Member Function Documentation
◆ calculate()
|
overridevirtual |
Implements PricingEngine.
Definition at line 48 of file hestonexpansionengine.cpp.
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Member Data Documentation
◆ formula_
|
private |
Definition at line 59 of file hestonexpansionengine.hpp.