Analytic Heston-Hull-White engine based on the H1-HW approximation. More...
#include <ql/pricingengines/vanilla/analytich1hwengine.hpp>
Inheritance diagram for AnalyticH1HWEngine:Public Member Functions | |
| AnalyticH1HWEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoXV, Size integrationOrder=144) | |
| AnalyticH1HWEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real rhoSr, Real relTolerance, Size maxEvaluations) | |
Public Member Functions inherited from AnalyticHestonHullWhiteEngine | |
| AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &hestonModel, const boost::shared_ptr< HullWhite > &hullWhiteModel, Size integrationOrder=144) | |
| AnalyticHestonHullWhiteEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhite > &hullWhiteModel, Real relTolerance, Size maxEvaluations) | |
| void | update () |
| void | calculate () const |
Public Member Functions inherited from AnalyticHestonEngine | |
| AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Real relTolerance, Size maxEvaluations) | |
| AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, Size integrationOrder=144) | |
| AnalyticHestonEngine (const boost::shared_ptr< HestonModel > &model, ComplexLogFormula cpxLog, const Integration &itg) | |
| Size | numberOfEvaluations () const |
Public Member Functions inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| GenericModelEngine (const Handle< HestonModel > &model=Handle< HestonModel >()) | |
| GenericModelEngine (const boost::shared_ptr< HestonModel > &model) | |
Public Member Functions inherited from GenericEngine< VanillaOption::arguments, VanillaOption::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 () |
Protected Member Functions | |
| std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Protected Member Functions inherited from AnalyticHestonHullWhiteEngine | |
| std::complex< Real > | addOnTerm (Real phi, Time t, Size j) const |
Additional Inherited Members | |
Public Types inherited from AnalyticHestonEngine | |
| enum | ComplexLogFormula { Gatheral, BranchCorrection } |
Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Static Public Member Functions inherited from AnalyticHestonEngine | |
| 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, const ComplexLogFormula cpxLog, const AnalyticHestonEngine *const enginePtr, Real &value, Size &evaluations) |
Protected Attributes inherited from AnalyticHestonHullWhiteEngine | |
| const boost::shared_ptr< HullWhite > | hullWhiteModel_ |
Protected Attributes inherited from GenericModelEngine< HestonModel, VanillaOption::arguments, VanillaOption::results > | |
| Handle< HestonModel > | model_ |
Protected Attributes inherited from GenericEngine< VanillaOption::arguments, VanillaOption::results > | |
| 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