Finite-Differences Heston Vanilla Option engine. More...
#include <ql/pricingengines/vanilla/fdhestonvanillaengine.hpp>
Inheritance diagram for FdHestonVanillaEngine:Public Member Functions | |
| FdHestonVanillaEngine (const boost::shared_ptr< HestonModel > &model, Size tGrid=100, Size xGrid=100, Size vGrid=50, Size dampingSteps=0, const FdmSchemeDesc &schemeDesc=FdmSchemeDesc::Hundsdorfer(), const boost::shared_ptr< LocalVolTermStructure > &leverageFct=boost::shared_ptr< LocalVolTermStructure >()) | |
| void | calculate () const |
| void | update () |
| void | enableMultipleStrikesCaching (const std::vector< Real > &strikes) |
| FdmSolverDesc | getSolverDesc (Real equityScaleFactor) const |
Public Member Functions inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
| GenericModelEngine (const boost::shared_ptr< HestonModel > &model) | |
Public Member Functions inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| PricingEngine::arguments * | getArguments () const |
| const PricingEngine::results * | getResults () const |
| void | reset () |
| void | update () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Protected Attributes inherited from GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| Handle< HestonModel > | model_ |
Protected Attributes inherited from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results > | |
| DividendVanillaOption::arguments | arguments_ |
| DividendVanillaOption::results | results_ |
Finite-Differences Heston Vanilla Option engine.
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virtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.