Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
Public Member Functions | |
AnalyticH1HWEngine (const ext::shared_ptr< HestonModel > &model, const ext::shared_ptr< HullWhite > &hullWhiteModel, Real rhoXV, Size integrationOrder=144) | |
AnalyticH1HWEngine (const ext::shared_ptr< HestonModel > &model, const ext::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Real relTolerance, Size maxEvaluations) | |
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AnalyticHestonHullWhiteEngine (const ext::shared_ptr< HestonModel > &hestonModel, const ext::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144) | |
AnalyticHestonHullWhiteEngine (const ext::shared_ptr< HestonModel > &model, const ext::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations) | |
void | update () |
void | calculate () const |
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AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, Size integrationOrder=144) | |
AnalyticHestonEngine (const ext::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg, Real andersenPiterbargEpsilon=1e-8) | |
std::complex< Real > | chF (const std::complex< Real > &z, Time t) const |
std::complex< Real > | lnChF (const std::complex< Real > &z, Time t) const |
Size | numberOfEvaluations () const |
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GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
GenericModelEngine (const ext::shared_ptr< HestonModel > &model) | |
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PricingEngine::arguments * | getArguments () const |
const PricingEngine::results * | getResults () const |
void | reset () |
void | update () |
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virtual arguments * | getArguments () const =0 |
virtual const results * | getResults () const =0 |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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Observer (const Observer &) | |
Observer & | operator= (const 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 | deepUpdate () |
Protected Member Functions | |
std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
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std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Additional Inherited Members | |
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enum | ComplexLogFormula { Gatheral, BranchCorrection, AndersenPiterbarg, AndersenPiterbargOptCV, AsymptoticChF, OptimalCV } |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
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static void | doCalculation (Real riskFreeDiscount, Real dividendDiscount, Real spotPrice, Real strikePrice, Real term, Real kappa, Real theta, Real sigma, Real v0, Real rho, const TypePayoff &type, const Integration &integration, ComplexLogFormula cpxLog, const AnalyticHestonEngine *enginePtr, Real &value, Size &evaluations) |
static ComplexLogFormula | optimalControlVariate (Time t, Real v0, Real kappa, Real theta, Real sigma, Real rho) |
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const ext::shared_ptr< HullWhite > | hullWhiteModel_ |
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Handle< HestonModel > | model_ |
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VanillaOption::arguments | arguments_ |
VanillaOption::results | results_ |
Analytic Heston-Hull-White engine based on the H1-HW approximation.
This class is pricing a european option under the following process
\[ \begin{array}{rcl} dS(t, S) &=& (r-d) S dt +\sqrt{v} S dW_1 \\ dv(t, S) &=& \kappa (\theta - v) dt + \sigma \sqrt{v} dW_2 \\ dr(t) &=& (\theta(t) - a r) dt + \eta dW_3 \\ dW_1 dW_2 &=& \rho_{S,v} dt, \rho_{S,r} >= 0 \\ dW_1 dW_3 &=& \rho_{S.r} dt \\ dW_2 dW_3 &=& 0 dt \\ \end{array} \]
References:
Lech A. Grzelak, Cornelis W. Oosterlee, On The Heston Model with Stochastic, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1382902
Lech A. Grzelak, Equity and Foreign Exchange Hybrid Models for Pricing Long-Maturity Financial Derivatives, http://repository.tudelft.nl/assets/uuid:a8e1a007-bd89-481a-aee3-0e22f15ade6b/PhDThesis_main.pdf