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QuantLib_FdHestonHullWhiteVanillaEngine
Langue: en
Version: 380742 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::FdHestonHullWhiteVanillaEngine -Finite-Differences Heston Hull-White Vanilla Option engine.
SYNOPSIS
#include <ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp>
Inherits GenericModelEngine< HestonModel, DividendVanillaOption::arguments, DividendVanillaOption::results >.
Public Member Functions
FdHestonHullWhiteVanillaEngine (const boost::shared_ptr< HestonModel > &model, const boost::shared_ptr< HullWhiteProcess > &hwProcess, Real corrEquityShortRate, Size tGrid=50, Size xGrid=100, Size vGrid=40, Size rGrid=20, Size dampingSteps=0, bool controlVariate=true, FdmBackwardSolver::FdmSchemeType type=FdmBackwardSolver::Hundsdorfer, Real theta=0.5+std::sqrt(3.0)/6, Real mu=0.5)
void calculate () const
void update ()
void enableMultipleStrikesCaching (const std::vector< Real > &strikes)
Detailed Description
Finite-Differences Heston Hull-White Vanilla Option engine.
Tests
- the correctness of the returned value is tested by reproducing results available in web/literature and comparison with Black/Heston pricing.
Member Function Documentation
void update () [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.
Reimplemented from GenericEngine< DividendVanillaOption::arguments, DividendVanillaOption::results >.
Author
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