Rechercher une page de manuel
QuantLib_AnalyticHestonHullWhiteEngine
Langue: en
Version: 165356 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
NAME
QuantLib::AnalyticHestonHullWhiteEngine - Analytic Heston engine incl. stochastic interest rates.SYNOPSIS
#include <ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp>
Inherits QuantLib::AnalyticHestonEngine.
Public Member Functions
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
Protected Member Functions
std::complex< Real > addOnTerm (Real phi, Time t, Size j) const
Detailed Description
Analytic Heston engine incl. stochastic interest rates.
This class is pricing a european options under the following processes
\.PP References:
Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't Panhuis, A Semi closed-from analytic pricing formula for call options in a hybrid Heston-Hull-White Model.
A. Sepp, Pricing European-Style Options under Jump Diffusion Processes with Stochastic Volatility: Applications of Fourier Transform (<http://math.ut.ee/~spartak/papers/stochjumpvols.pdf>)
Tests
- the correctness of the returned value is tested by reproducing results available in web/literature, testing against QuantLib's analytic Heston and Black-Scholes-Merton Hull-White engine
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< VanillaOption::arguments, VanillaOption::results >.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre