HestonModelHelper Class Reference

calibration helper for Heston model More...

#include <ql/models/equity/hestonmodelhelper.hpp>

Inheritance diagram for HestonModelHelper:

Collaboration diagram for HestonModelHelper:

Public Member Functions
	HestonModelHelper (const Period &maturity, Calendar calendar, Real s0, Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
	HestonModelHelper (const Period &maturity, Calendar calendar, const Handle< Quote > &s0, Real strikePrice, const Handle< Quote > &volatility, const Handle< YieldTermStructure > &riskFreeRate, const Handle< YieldTermStructure > &dividendYield, BlackCalibrationHelper::CalibrationErrorType errorType=BlackCalibrationHelper::RelativePriceError)
void	addTimesTo (std::list< Time > &) const override
void	performCalculations () const override
Real	modelValue () const override
	returns the price of the instrument according to the model More...
Real	blackPrice (Real volatility) const override
	Black or Bachelier price given a volatility. More...
Time	maturity () const
Public Member Functions inherited from BlackCalibrationHelper
	BlackCalibrationHelper (Handle< Quote > volatility, CalibrationErrorType calibrationErrorType=RelativePriceError, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)
void	performCalculations () const override
Handle< Quote >	volatility () const
	returns the volatility Handle More...
VolatilityType	volatilityType () const
	returns the volatility type More...
Real	marketValue () const
	returns the actual price of the instrument (from volatility) More...
virtual Real	modelValue () const =0
	returns the price of the instrument according to the model More...
Real	calibrationError () override
	returns the error resulting from the model valuation More...
virtual void	addTimesTo (std::list< Time > &times) const =0
Volatility	impliedVolatility (Real targetValue, Real accuracy, Size maxEvaluations, Volatility minVol, Volatility maxVol) const
	Black volatility implied by the model. More...
virtual Real	blackPrice (Volatility volatility) const =0
	Black or Bachelier price given a volatility. More...
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 ()
Public Member Functions inherited from CalibrationHelper
virtual	~CalibrationHelper ()=default
virtual Real	calibrationError ()=0
	returns the error resulting from the model valuation More...

Private Attributes
const Period	maturity_
const Calendar	calendar_
const Handle< Quote >	s0_
const Real	strikePrice_
const Handle< YieldTermStructure >	riskFreeRate_
const Handle< YieldTermStructure >	dividendYield_
Date	exerciseDate_
Time	tau_
Option::Type	type_
ext::shared_ptr< VanillaOption >	option_

Additional Inherited Members
Public Types inherited from BlackCalibrationHelper
enum	CalibrationErrorType { RelativePriceError , PriceError , ImpliedVolError }
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from LazyObject
virtual void	calculate () const
Protected Attributes inherited from BlackCalibrationHelper
Real	marketValue_
Handle< Quote >	volatility_
ext::shared_ptr< PricingEngine >	engine_
const VolatilityType	volatilityType_
const Real	shift_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

calibration helper for Heston model

Definition at line 34 of file hestonmodelhelper.hpp.

Constructor & Destructor Documentation

HestonModelHelper() [1/2]

HestonModelHelper	(	const Period &	maturity,
		Calendar	calendar,
		Real	s0,
		Real	strikePrice,
		const Handle< Quote > &	volatility,
		const Handle< YieldTermStructure > &	riskFreeRate,
		const Handle< YieldTermStructure > &	dividendYield,
		BlackCalibrationHelper::CalibrationErrorType	errorType = BlackCalibrationHelper::RelativePriceError
	)

Definition at line 33 of file hestonmodelhelper.cpp.

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HestonModelHelper() [2/2]

HestonModelHelper	(	const Period &	maturity,
		Calendar	calendar,
		const Handle< Quote > &	s0,
		Real	strikePrice,
		const Handle< Quote > &	volatility,
		const Handle< YieldTermStructure > &	riskFreeRate,
		const Handle< YieldTermStructure > &	dividendYield,
		BlackCalibrationHelper::CalibrationErrorType	errorType = BlackCalibrationHelper::RelativePriceError
	)

Definition at line 48 of file hestonmodelhelper.cpp.

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Member Function Documentation

addTimesTo()

void addTimesTo ( std::list< Time > &  ) const

overridevirtual

Implements BlackCalibrationHelper.

Definition at line 56 of file hestonmodelhelper.hpp.

performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from BlackCalibrationHelper.

Definition at line 64 of file hestonmodelhelper.cpp.

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modelValue()

Real modelValue ( ) const

overridevirtual

returns the price of the instrument according to the model

Implements BlackCalibrationHelper.

Definition at line 80 of file hestonmodelhelper.cpp.

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blackPrice()

Real blackPrice ( Real  volatility ) const

overridevirtual

Black or Bachelier price given a volatility.

Implements BlackCalibrationHelper.

Definition at line 86 of file hestonmodelhelper.cpp.

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maturity()

Time maturity

(

)

const

Definition at line 60 of file hestonmodelhelper.hpp.

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Member Data Documentation

maturity_

const Period maturity_

private

Definition at line 62 of file hestonmodelhelper.hpp.

calendar_

const Calendar calendar_

private

Definition at line 63 of file hestonmodelhelper.hpp.

s0_

const Handle<Quote> s0_

private

Definition at line 64 of file hestonmodelhelper.hpp.

strikePrice_

const Real strikePrice_

private

Definition at line 65 of file hestonmodelhelper.hpp.

riskFreeRate_

const Handle<YieldTermStructure> riskFreeRate_

private

Definition at line 66 of file hestonmodelhelper.hpp.

dividendYield_

const Handle<YieldTermStructure> dividendYield_

private

Definition at line 67 of file hestonmodelhelper.hpp.

exerciseDate_

Date exerciseDate_

mutableprivate

Definition at line 68 of file hestonmodelhelper.hpp.

tau_

Time tau_

mutableprivate

Definition at line 69 of file hestonmodelhelper.hpp.

type_

Option::Type type_

mutableprivate

Definition at line 70 of file hestonmodelhelper.hpp.

option_

ext::shared_ptr<VanillaOption> option_

mutableprivate

Definition at line 71 of file hestonmodelhelper.hpp.