24#ifndef quantlib_fd_heston_hull_white_vanilla_engine_hpp
25#define quantlib_fd_heston_hull_white_vanilla_engine_hpp
27#include <ql/instruments/dividendvanillaoption.hpp>
28#include <ql/models/equity/hestonmodel.hpp>
29#include <ql/processes/hullwhiteprocess.hpp>
30#include <ql/pricingengines/genericmodelengine.hpp>
31#include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
32#include <ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp>
36 QL_DEPRECATED_DISABLE_WARNING
47 DividendVanillaOption::arguments,
48 DividendVanillaOption::results> {
49 QL_DEPRECATED_ENABLE_WARNING
52 const ext::shared_ptr<HestonModel>& model,
53 ext::shared_ptr<HullWhiteProcess> hwProcess,
54 Real corrEquityShortRate,
59 Size dampingSteps = 0,
60 bool controlVariate =
true,
64 const ext::shared_ptr<HestonModel>& model,
65 ext::shared_ptr<HullWhiteProcess> hwProcess,
67 Real corrEquityShortRate,
72 Size dampingSteps = 0,
73 bool controlVariate =
true,
93 QL_DEPRECATED_DISABLE_WARNING
97 QL_DEPRECATED_ENABLE_WARNING
Finite-differences Heston Hull-White vanilla option engine.
const Real corrEquityShortRate_
void calculate() const override
const bool controlVariate_
std::vector< Real > strikes_
const ext::shared_ptr< HullWhiteProcess > hwProcess_
DividendSchedule dividends_
QL_DEPRECATED_DISABLE_WARNING std::vector< std::pair< DividendVanillaOption::arguments, DividendVanillaOption::results > > cachedArgs2results_
void enableMultipleStrikesCaching(const std::vector< Real > &strikes)
const FdmSchemeDesc schemeDesc_
Base class for some pricing engine on a particular model.
std::size_t Size
size of a container
std::vector< ext::shared_ptr< Dividend > > DividendSchedule
static FdmSchemeDesc Hundsdorfer()