analytic piecewise constant time dependent Heston-model engine More...

#include <analyticptdhestonengine.hpp>

Inheritance diagram for AnalyticPTDHestonEngine:

Collaboration diagram for AnalyticPTDHestonEngine:

Public Types
enum	ComplexLogFormula { Gatheral , AndersenPiterbarg }

typedef AnalyticHestonEngine::Integration	Integration

Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	AnalyticPTDHestonEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Real relTolerance, Size maxEvaluations)

	AnalyticPTDHestonEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, Size integrationOrder=144)

	AnalyticPTDHestonEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8)

void	calculate () const override

Size	numberOfEvaluations () const

std::complex< Real >	chF (const std::complex< Real > &z, Time t) const

std::complex< Real >	lnChF (const std::complex< Real > &z, Time t) const

Public Member Functions inherited from GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >
	GenericModelEngine (Handle< PiecewiseTimeDependentHestonModel > model=Handle< PiecewiseTimeDependentHestonModel >())

	GenericModelEngine (const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &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
Size	evaluations_

const ComplexLogFormula	cpxLog_

const ext::shared_ptr< Integration >	integration_

const Real	andersenPiterbargEpsilon_

Additional Inherited Members
Protected Attributes inherited from GenericModelEngine< PiecewiseTimeDependentHestonModel, VanillaOption::arguments, VanillaOption::results >
Handle< PiecewiseTimeDependentHestonModel >	model_

Protected Attributes inherited from GenericEngine< ArgumentsType, ResultsType >
ArgumentsType	arguments_

ResultsType	results_

Detailed Description

analytic piecewise constant time dependent Heston-model engine

References:

Heston, Steven L., 1993. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. The review of Financial Studies, Volume 6, Issue 2, 327-343.

J. Gatheral, The Volatility Surface: A Practitioner's Guide, Wiley Finance

A. Elices, Models with time-dependent parameters using transform methods: application to Heston’s model, http://arxiv.org/pdf/0708.2020

Definition at line 52 of file analyticptdhestonengine.hpp.

Member Typedef Documentation

◆ Integration

typedef AnalyticHestonEngine::Integration Integration

Definition at line 58 of file analyticptdhestonengine.hpp.

Member Enumeration Documentation

◆ ComplexLogFormula

enum ComplexLogFormula

Enumerator
Gatheral
AndersenPiterbarg

Definition at line 57 of file analyticptdhestonengine.hpp.

Constructor & Destructor Documentation

◆ AnalyticPTDHestonEngine() [1/3]

AnalyticPTDHestonEngine	(	const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &	model,
		Real	relTolerance,
		Size	maxEvaluations
	)

Definition at line 224 of file analyticptdhestonengine.cpp.

◆ AnalyticPTDHestonEngine() [2/3]

AnalyticPTDHestonEngine	(	const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &	model,
		Size	integrationOrder = `144`
	)

explicit

Definition at line 211 of file analyticptdhestonengine.cpp.

◆ AnalyticPTDHestonEngine() [3/3]

AnalyticPTDHestonEngine	(	const ext::shared_ptr< PiecewiseTimeDependentHestonModel > &	model,
		ComplexLogFormula	cpxLog,
		const Integration &	itg,
		Real	andersenPiterbargEpsilon = `1e-8`
	)